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タイトル: Networks of volatility spillovers among stock markets
著者: Baumöhl, Eduard
Kočenda, Evžen
Lyócsa, Štefan
Výrost, Tomáš
キーワード: volatility spillovers
stock markets
shock transmission
Granger causality network
spatial regression
financial crisis
発行日: May-2016
出版者: Institute of Economic Research, Kyoto University
誌名: KIER Discussion Paper
巻: 941
抄録: 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 confirm 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. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.
URI: http://hdl.handle.net/2433/214307
出現コレクション:KIER Discussion Paper (英文版)

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