Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach

Xu Zhang, Zhiyu Lv, Muhammad Abubakr Naeem, Abdul Rauf and Jiawen Liu

Finance Research Letters, 2024, vol. 63, issue C

Abstract: This paper investigates the intertemporal risk effects in global stock markets using a novel network topology based on relative importance analysis. The rolling time window approach identifies dynamic and asymmetric risk spillovers. The results reveal complex and asymmetric intertemporal risk spillovers in international stock markets. Europe and America are the main risk transmitters. Countries in the forecast period, receive more risk from the international stock market. Major events that generate stock market turbulence will dramatically increase intertemporal risk spillovers. These findings have implications for risk management and the stability of the international stock market.

Keywords: International stock market; Relative importance analysis; Intertemporal risk spillover effect; Intertemporal risk contagion network (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:63:y:2024:i:c:s154461232400401x

DOI: 10.1016/j.frl.2024.105371

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