Contagion or interdependence? Comparing signed and unsigned spillovers

Raisul Islam () and Vladimir Volkov ()
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Raisul Islam: Tasmanian School of Business & Economics, University of Tasmania, http://www.utas.edu.au/business-and-economics
Vladimir Volkov: Tasmanian School of Business & Economics, University of Tasmania, https://www.utas.edu.au/profiles/staff/economics/vladimir-volkov

No 2020-05, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: Differentiating between ‘good’ and ‘bad’ spillovers we disentangle sources of potential crisis from the intricately complex web of connections across international equity markets. In particular, we analyze the behaviour of 30 global equity markets and compute multiple spillover measures, which encapsulate many large and small crises episodes. Instead of relying on ex–post-crisis information, our model identifies crises periods. Moreover, we are able to detect newly emerging contagion in the system.

Keywords: Systemic risk; signed spillover; contagion; interdependence (search for similar items in EconPapers)
JEL-codes: C3 C32 C45 C53 D85 G10 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2020
New Economics Papers: this item is included in nep-ore
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Published by the University of Tasmania. Discussion paper 2020-05

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