Market inefficiency spillover network across different regimes

Jie Yang and Yun Feng

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

Abstract: This study examines risk transmission among 34 stock markets from the perspective of market inefficiency spillover effects. We suggest the use of the hidden Markov model along with the multifractal detrended fluctuation analysis to measure the degree of market efficiency for both bull and bear regimes. Diebold–Yilmaz spillover indices are used to document the asymmetric characteristics of market inefficiency spillovers in bull and bear regimes. When the market crashes or bubbles and the external economic and financial environment worsens, inefficiency spillovers increase significantly.

Keywords: Market inefficiency spillover; Network connectedness; Multifractal analysis; Market regimes (search for similar items in EconPapers)
JEL-codes: C32 G11 G14 (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:pc:s1544612323009492

DOI: 10.1016/j.frl.2023.104577

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