Impact of Crises on Capital Market Volatility: A Bibliometric Analysis

Adriana Anamaria Davidescu, Răzvan Gabriel Hapau and Eduard Mihai Manta

A chapter in The New Digital Era: Other Emerging Risks and Opportunities, 2022, vol. 109B, pp 21-53 from Emerald Group Publishing Limited

Abstract: In recent decades, interconnections between countries have increased substantially worldwide as the process of integration and globalisation intensifies, with a positive impact in terms of economic development, but, also with a vulnerability to external shocks, such as the financial contagion phenomenon. The analysis of this research field becomes even more relevant in the context of a new major exogenous shock, but which, this time, has different specificities, being a sanitary crisis. Thus, the chapter aims to investigate the impact of crises on capital market volatility for the period of 1995–2021, using the bibliometric analysis highlighting the dynamics of the literature and potential future research directions through a science mapping that enables investigating scientific knowledge. In order to explore the development of the research field in terms of publications, author impact, affiliated institutions and countries, citation patterns, trending topics, relationship between keywords–authors–journals, abstracts’ analysis, authors and documents clustering by coupling, multiple correspondence analysis of major research themes, keyword analysis, co-citation analysis and authors, institutions and countries collaboration analysis have been applied. Hence, almost 500 publications from Web of Science database covering the period 1995–2021 have been extracted. The empirical findings emphasise the conceptual structure, with clusters focussing mainly on long-term receivables, market efficiency, volatility, dynamic conditional correlation (DCC)-GARCH models, asymmetric effects. According to the intellectual structure of the field, Lambertides N., Zopiatis A., McAleer M. or Savva C. S. are the most representative authors for the sub-area of volatility topic; whilst Balcerzak A. P., Pietrzak M. B., Zinecker M., Meluzin T. and Faldzinski M. are the reference names for the whole spectrum of DCC-GARCH models’ topic. Jayasekera R., Lundblad C., Choundhry T., Gupta R. and Demirer R. are the authors mostly associated with asymmetric effects’ topic, whilst Thorp S., Bouchaud J. P. and Dungey M. with the quantitative finance. TheJournal of Banking & Finance, theJournal of International Money and Financeand theInternational Review of Financial Analysisas well asEconomic Modelling,Research in International Business and Financeand theInternational Journal of Finance & Economicsare the most prolific journals in the field of capital flow and financial crises. This chapter’s main contribution is to build a structure of knowledge for the impact of crises on capital market volatility, elaborate and classify empirical research into relevant dimensions that can be used as a reference for comprehensively developing research. Finally, the bibliometric analysis results may provide insight into future research prospects. Our conclusions offer some recommendations for market practitioners and policy-making.

Keywords: Crises; history; capital market; volatility; bibliometrics; Web of Science; G01; G15; O16; C45 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-37592022000109b003

DOI: 10.1108/S1569-37592022000109B003

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