A global network topology of stock markets: Transmitters and receivers of spillover effects

Syed Jawad Hussain Shahzad, Jose Areola Hernandez, Mobeen Ur Rehman, Khamis Hamed Al-Yahyaee, Muhammad Zakaria

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

This paper applies a bivariate cross-quantilogram approach to examine the spillover network structure in the stock markets of 58 countries according to bearish, normal and bullish market scenarios. Our aim is to identify the strongest interdependencies, the directionality of the spillover risk effects, and to detect those equity markets with the potential to cause global systemic risk. The results highlight the role of the US and Canadian equity markets as major spillover transmitters, while the stock markets of Romania, Taiwan and Mexico act mainly as spillover receivers. Particularly strong spillovers are observed from the Canadian and US equity markets towards the Irish market, and from the Brazilian equity market towards the Kenyan equivalent. The equity market networks suggest that only the US equity market can trigger systemic risk on a global scale. Implications of the results are discussed.

Original languageEnglish
Pages (from-to)2136-2153
Number of pages18
JournalPhysica A: Statistical Mechanics and its Applications
Volume492
DOIs
Publication statusPublished - Feb 15 2018

Fingerprint

Stock Market
Network Topology
Transmitter
transmitters
Equity
Receiver
topology
receivers
Romania
Mexico
Taiwan
actuators
causes
Market
Interdependencies
Network Structure
Trigger
Scenarios

Keywords

  • Cross-quantilogram model
  • Economic spillovers
  • Global equity markets
  • Global network structure
  • Return connectedness

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

Cite this

A global network topology of stock markets : Transmitters and receivers of spillover effects. / Shahzad, Syed Jawad Hussain; Hernandez, Jose Areola; Rehman, Mobeen Ur; Al-Yahyaee, Khamis Hamed; Zakaria, Muhammad.

In: Physica A: Statistical Mechanics and its Applications, Vol. 492, 15.02.2018, p. 2136-2153.

Research output: Contribution to journalArticle

Shahzad, Syed Jawad Hussain ; Hernandez, Jose Areola ; Rehman, Mobeen Ur ; Al-Yahyaee, Khamis Hamed ; Zakaria, Muhammad. / A global network topology of stock markets : Transmitters and receivers of spillover effects. In: Physica A: Statistical Mechanics and its Applications. 2018 ; Vol. 492. pp. 2136-2153.
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