Choi, K.-H.; Yoon, S.-M. Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach. Systems2023, 11, 207.
Choi, K.-H.; Yoon, S.-M. Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach. Systems 2023, 11, 207.
Choi, K.-H.; Yoon, S.-M. Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach. Systems2023, 11, 207.
Choi, K.-H.; Yoon, S.-M. Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach. Systems 2023, 11, 207.
Abstract
We analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and downside value-at-risk. We document that the connectedness level of the downside risk is higher than that of the upside risk and that stock markets are more sensitive when the stock market declines. We also find that specific periods (e.g., the global financial crisis, the European debt crisis, and the COVID-19 turmoil) intensify the spillover effects across international stock markets. Our results demonstrate that the EU, Ger-many, and the US acted as net transmitters of dynamic connectedness; however, Japan (JP), China (CH), and India (IN) acted as net receivers of dynamic connectedness during the sample period. These findings provide significant new information to policymakers and market participants.
Keywords
risk connectedness; network approach; value-at-risk; international stock market; extreme risk
Subject
Engineering, Marine Engineering
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
