Dynamic volatility spillover and network connectedness across ASX sector markets

Ki-Hong Choi (), Ron P. McIver (), Salvatore Ferraro (), Lei Xu () and Sang Hoon Kang ()
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Ki-Hong Choi: Pusan National University
Ron P. McIver: University of South Australia
Salvatore Ferraro: Global Founders Funds Management
Lei Xu: University of South Australia
Sang Hoon Kang: Pusan National University

Journal of Economics and Finance, 2021, vol. 45, issue 4, No 5, 677-691

Abstract: Abstract This study measures dynamic volatility spillovers and identifies the connectedness network across 11 Australian Securities Exchange (ASX) sector indices using the spillover index methodology of Diebold and Yilmaz (J Econ 182:119–134, 2014). Additionally, we visualize volatility connectedness relationships as links within a complex network to capture the propagation path of volatility connectedness across the 11 ASX sectors. Our results indicate that recent financial crises intensified the degree of volatility connectedness across the 11 ASX sectors, supporting the contagion hypothesis. Importantly, the financial sector is the main transmitter of volatility connectedness across the 11 ASX sector markets.

Keywords: Dynamic volatility spillovers; Financial crisis; Connectedness network; Sector indices (search for similar items in EconPapers)
JEL-codes: C58 F37 G14 G15 Q31 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s12197-021-09544-w

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