Network analysis of international financial markets contagion based on volatility indexes

Weinan Lin, Ruolan Ouyang, Xuan Zhang and Chengkai Zhuang

Finance Research Letters, 2023, vol. 56, issue C

Abstract: In this paper, five volatility indexes are used as the proxy to examine the risk contagion among major stock markets. Both static and dynamic connectedness methods are employed. First, the overall connectedness can help monitor the dynamic systemic risk. Sharpe increases in total spillover correspond to actual risk events, e.g., the outbreak of COVID-19. Second, Hong Kong bridges the domestic and international stock markets, and forms a protective barrier for the mainland market to some extend. Third, developed economies mainly act as the net risk transmitters in the network. Fourth, Europe shows greater power in risk contagion after the pandemic.

Keywords: Volatility index; Connectedness; Risk contaigion (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323004117
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004117

DOI: 10.1016/j.frl.2023.104039

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().