Networks of Volatility Spillovers among Stock Markets
Eduard Baumohl (),
Evzen Kocenda (),
Štefan Lyócsa () and
Tomáš Výrost ()
No 6476, CESifo Working Paper Series from CESifo Group Munich
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.
Keywords: volatility spillovers; stock markets; shock transmission; Granger causality network; spatial regression; financial crisis (search for similar items in EconPapers)
JEL-codes: C31 C58 F01 G01 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-rmg
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Journal Article: Networks of volatility spillovers among stock markets (2018)
Working Paper: Networks of volatility spillovers among stock markets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_6476
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