Quantifying the international stock market risk spillover: An analysis based on G-expectation upper variances

Yi Cai, Zhenpeng Tang, Kaijie Chen and Dinggao Liu

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: This study proposes a combination model to assess upper variance spillover effects in 14 stock markets. By integrating G-normal distribution model and the connectedness approach, we measure spillover effects and compute upper variance. Empirical findings reveal that developed countries (e.g., Britain, France, Germany) contribute more to upper variance risk, while developing countries (e.g., Philippines, Brazil, Indonesia) receive it. During the crisis, the total spillover index increases from 24.81% to 66.01%. French and German stock markets' spillover rises by 144.21% and 44.94% respectively, while China's spillover is relatively smaller. Dynamic upper variance exhibits an upward trend, sensitive to major economic shocks.

Keywords: Upper variance spillover; G-expectation theory; Connectedness approach; Dynamic analysis (search for similar items in EconPapers)
JEL-codes: C58 G10 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323007183

DOI: 10.1016/j.frl.2023.104346

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