Počet záznamů: 1
Networks of volatility spillovers among stock markets
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SYSNO ASEP 0487923 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Networks of volatility spillovers among stock markets Tvůrce(i) Baumöhl, E. (SK)
Kočenda, Evžen (UTIA-B) ORCID
Lyócsa, S. (SK)
Výrost, T. (SK)Zdroj.dok. Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371
Roč. 490, č. 1 (2018), s. 1555-1574Poč.str. 20 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Volatility spillovers ; Shock transmission ; Stock markets ; Granger causality network ; Financial crisis ; Spatial regression Vědní obor RIV AH - Ekonomie Obor OECD Applied Economics, Econometrics CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000415912900140 EID SCOPUS 85030123221 DOI 10.1016/j.physa.2017.08.123 Anotace In our network analysis of 40 developed, emerging and frontier stock markets during the 2006-2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We document the presence of 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, which is measured by high spatial autocorrelation. This finding is confirmed by spatial regression models showing that indirect effects are much stronger than direct effects, i.e., market-related changes in 'neighboring' markets (within a network) affect volatility spillovers more than changes in the given market alone, suggesting that spatial effects simply cannot be ignored when modeling stock market relationships. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2019
Počet záznamů: 1