Dynamic asymmetric connectedness in technological sectors

Muneer Alshater (), Huthaifa Alqaralleh and Rim El Khoury

The Journal of Economic Asymmetries, 2023, vol. 27, issue C

Abstract: This paper investigates the asymmetric, time, and frequency-based volatility spillovers in global IT industries. To this end, we introduce a new Wavelet-Time Varying Parameter-VAR (W-TVP-VAR) approach to compute connectedness combined with the asymmetrical connectedness of (Barndorff-Nielsen et al., 2010) and (Baruník et al., 2016, 2017) at different frequencies. Daily stock prices of the IT sector in thirteen countries representing the top technologically advanced countries ranging from January 15, 2016, until June 24, 2022, are used. The empirical results show that the aggregate volatility is slowly transmitted across markets with an effect lasting more than twenty days. The result also supports the presence of asymmetrical transmission as downside spillovers dominate upside spillovers, regardless of the frequency. Furthermore, the time-varying spillover shows the dominance of downside spillovers in various crisis periods, especially during the pandemic. The time and frequency-based spillover indicate that the overall spillover increased during the recent COVID-19 pandemic crisis period, which is mostly driven by the short-term, suggesting that panic decisions and herd behavior result in extreme connectedness. These findings are helpful to participants and policymakers.

Keywords: IT sectors; Asymmetric spillover measure; Connectedness; SAM; W-TVP-VAR. (search for similar items in EconPapers)
JEL-codes: C58 F30 G11 G15 G23 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000470

DOI: 10.1016/j.jeca.2022.e00287

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