Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets

Muhammad Yahya, Mohammad Reza Allahdadi, Gazi Uddin, Donghyun Park and Gang-Jin Wang

Finance Research Letters, 2024, vol. 59, issue C

Abstract: This study investigates the interconnectedness of ASEAN-4, regional, and global financial markets by analyzing risk spillover layers using multilayer information spillover network topology across instruments including bonds, forex, and stocks. The findings uncover intricate relationships between markets. Extreme risk and volatility spillover layers may indicate early financial crises, while mean spillovers exhibit hysteresis, peaking during or after crises. ASEAN-4 interconnectedness remains relatively stable, while global markets demonstrate robust interconnectedness with high overlap. The findings improve understanding of global financial structure amid deglobalization, holding policymaker and participant implications by revealing complex connections during financial crises.

Keywords: ASEAN-4 markets; Multilayer network; Spillover; Bonds (search for similar items in EconPapers)
JEL-codes: F21 G12 G15 J11 M48 N25 O11 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011200

DOI: 10.1016/j.frl.2023.104748

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