Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets

Walid Mensi; Ferihane Zaraa Boubaker; Khamis Hamed Al-Yahyaee; Sang Hoon Kang

doi:10.1016/j.frl.2017.10.032

Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets

Walid Mensi, Ferihane Zaraa Boubaker, Khamis Hamed Al-Yahyaee, Sang Hoon Kang^*

^*Corresponding author for this work

Economics & Finance

Research output: Contribution to journal › Article › peer-review

94 Citations (Scopus)

Abstract

This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis to measure volatility spillovers using the Diebold and Yilmaz (2012, 2014) methodology. We also examine the network connectedness at different stages of recent crises. Our finding indicates that recent crises intensify volatility spillovers, supporting the financial contagion effects. Furthermore, the GIPSI (except Spain and Greece markets), global and regional U.S. markets are net transmitter of shocks while the rest stock markets are net receiver of shocks.

Original language	English
Journal	Finance Research Letters
DOIs	https://doi.org/10.1016/j.frl.2017.10.032
Publication status	Accepted/In press - Jan 1 2017

Keywords

Connectedness network
GIPSI stock markets
Global and regional stock markets
Spillover index

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2017.10.032

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title = "Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets",

abstract = "This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis to measure volatility spillovers using the Diebold and Yilmaz (2012, 2014) methodology. We also examine the network connectedness at different stages of recent crises. Our finding indicates that recent crises intensify volatility spillovers, supporting the financial contagion effects. Furthermore, the GIPSI (except Spain and Greece markets), global and regional U.S. markets are net transmitter of shocks while the rest stock markets are net receiver of shocks.",

keywords = "Connectedness network, GIPSI stock markets, Global and regional stock markets, Spillover index",

author = "Walid Mensi and Boubaker, {Ferihane Zaraa} and Al-Yahyaee, {Khamis Hamed} and Kang, {Sang Hoon}",

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AU - Mensi, Walid

AU - Boubaker, Ferihane Zaraa

AU - Al-Yahyaee, Khamis Hamed

AU - Kang, Sang Hoon

PY - 2017/1/1

Y1 - 2017/1/1

N2 - This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis to measure volatility spillovers using the Diebold and Yilmaz (2012, 2014) methodology. We also examine the network connectedness at different stages of recent crises. Our finding indicates that recent crises intensify volatility spillovers, supporting the financial contagion effects. Furthermore, the GIPSI (except Spain and Greece markets), global and regional U.S. markets are net transmitter of shocks while the rest stock markets are net receiver of shocks.

AB - This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis to measure volatility spillovers using the Diebold and Yilmaz (2012, 2014) methodology. We also examine the network connectedness at different stages of recent crises. Our finding indicates that recent crises intensify volatility spillovers, supporting the financial contagion effects. Furthermore, the GIPSI (except Spain and Greece markets), global and regional U.S. markets are net transmitter of shocks while the rest stock markets are net receiver of shocks.

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KW - Spillover index

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Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets

Abstract

Keywords

ASJC Scopus subject areas

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