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

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

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13 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 languageEnglish
JournalFinance Research Letters
DOIs
Publication statusAccepted/In press - Jan 1 2017

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Keywords

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

ASJC Scopus subject areas

  • Finance

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