Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia

Chen-Yin Kuo () and Shu-Mei Chiang ()
Additional contact information
Chen-Yin Kuo: Minghsin University of Science and Technology
Shu-Mei Chiang: Lunghwa University of Science and Technology

Review of Quantitative Finance and Accounting, 2025, vol. 64, issue 1, No 1, 52 pages

Abstract: Abstract We investigate return spillover effects and depict a connectedness network among U.S. and Asian stock markets, comparing the spillovers during three crisis sub-periods and the entire period. Our findings are summarized as follows: First, regarding a puzzle in Choi (Econ Anal Policy 73:179-193, 2022) we find that total and net-pairwise spillover index during the global financial crisis (GFC) period are greater than those during COVID-19 pandemic period for stock markets studied, with the exception of Hong Kong which shows contrary results. Second, particularly, we decompose total spillover into two directional spillovers. The directional spillover from U.S. to Asian markets is greater during GFC period than that during COVID-19 period, whereas the directional spillover from Asian markets to U.S. display the contrary results. Third, different from S&P500 used by the literature, we use DJIA index to obtain the results conformable with the studies showing that U.S. is the strongest contributor and net transmitter of shocks to 9 Asian markets. Finally, analogous to findings in the literature, spillover indices across stock markets intensify during crisis periods. Our findings provide practical implications that understanding spillover effects among U.S. and Asian markets can help investors and portfolio managers to execute diversification strategy.

Keywords: Return spillover; Network connectedness; Spillover index; Diversification (search for similar items in EconPapers)
JEL-codes: C58 G14 G15 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11156-024-01291-3 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:64:y:2025:i:1:d:10.1007_s11156-024-01291-3

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-024-01291-3

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().