Features of spillover networks in international financial markets: Evidence from the G20 countries

Xueyong Liu, Haizhong An, Huajiao Li, Zhihua Chen, Sida Feng and Shaobo Wen

Physica A: Statistical Mechanics and its Applications, 2017, vol. 479, issue C, 265-278

Abstract: The objective of this study is to investigate volatility spillover transmission systematically in stock markets across the G20 countries. To achieve this objective, we combined GARCH-BEKK model with complex network theory using the linkages of spillovers. GARCH-BEKK model was used to capture volatility spillover between stock markets. Then, an information spillover network was built. The data encompass the main stock indexes from 19 individual countries in the G20. To consider the dynamic spillover, the full data set was divided into several sub-periods. The main contribution of this paper is considering the volatility spillover relationships as the edges of a complex network, which can capture the propagation path of volatility spillovers. The results indicate that the volatility spillovers among the stock markets of the G20 countries constitute a holistic associated network, another finding is that Korea acts a role of largest sender in long-term, while Brazil is the largest long-term recipient in the G20 spillover network.

Keywords: Volatility spillover; Complex network; International stock markets; Bivariate GARCH-BEKK model (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:479:y:2017:i:c:p:265-278

DOI: 10.1016/j.physa.2017.03.016

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