The network connectedness of volatility spillovers across global futures markets

Sang Hoon Kang and Jang Woo Lee

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: This paper analyzes the dynamic volatility spillovers and network connectedness between stock index and commodity futures markets using the multivariate DECO-FIGARCH model and the spillover index method of Diebold and Yilmaz (2014). We estimate a positive equicorrelation between the index and commodity futures and find the highest level of spillover index during the 2008–2009 global financial crisis and 2010–2012 European sovereign debt crisis. Further, we adopt both static and dynamic spillover approaches to identify the net spillover transmitter or receiver across global futures markets. We also measure the directional spillover and assess the net pairwise spillover across global futures markets. Finally, our network connectedness provides specific information on the net pairwise connectedness and intensity of connectedness in different sub-periods.

Keywords: Volatility spillover; Network connectedness; Global futures markets; Financial crises (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (83)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119303565

DOI: 10.1016/j.physa.2019.03.121

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