Network connectedness and net spillover between financial and commodity markets
Seong-Min Yoon (),
Md Al Mamun,
Gazi Uddin () and
Sang Hoon Kang
The North American Journal of Economics and Finance, 2019, vol. 48, issue C, 801-818
We extend the prior literature on market connectedness and spillover by quantifying the size of return connectedness across markets (assets). Applying the network spillover methodology, we perform both static and dynamic analyses to quantify the net spillover shock transmission from one market to another market (stock, bond, currency, and commodities) from December 1999 to June 2016. Thus, we measure the net pairwise spillover and assess the net directional connectedness for each market (asset class). Finally, our visual depiction of a network connectedness framework provides specific information on portfolio strategies for cross-border portfolio managers.
Keywords: Assets classes; Network connectedness; Portfolio management; Return spillover (search for similar items in EconPapers)
JEL-codes: C58 F37 G14 G15 Q31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:48:y:2019:i:c:p:801-818
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().