Review
Version 1
Preserved in Portico This version is not peer-reviewed
Market Connectedness and Volatility Spillovers: A Meta-Literature Review
Version 1
: Received: 3 May 2023 / Approved: 4 May 2023 / Online: 4 May 2023 (10:43:59 CEST)
A peer-reviewed article of this Preprint also exists.
Anand K, K.; Mishra, A.K. Market Connectedness and Volatility Spillovers: A Meta-Literature Review. Commodities 2023, 2, 201-219. Anand K, K.; Mishra, A.K. Market Connectedness and Volatility Spillovers: A Meta-Literature Review. Commodities 2023, 2, 201-219.
Abstract
Evaluation of market connectedness and asymmetric volatility spillover has recently seen a surge in financial risk analytics and portfolio diversification. We carried out a meta-literature review on connectedness and spillovers, providing solid insight into the research field and robust guidelines for future investigation. The review consists of a quantitative bibliometric analysis of 594 papers and a qualitative content analysis of 77 papers covering 1991 to 2021. The results of the meta-citation analysis shows that Diebold's Spillover index (2007) is the predominant method in most works as far as market connectedness and spillover is concerned. With an extensive review, we answered the following objectives (1) Analyze the most influential authors, journals, and publications, (2) Understand the research streams and most studied streams, (3) Understand the theme structure and thematic evolution, and keyword trends, (4) Examine the pattern of collaboration, and most productive affiliations, (5) Explore future research directions and untapped areas. The content analysis revealed the following important research streams in the current literature (1) Asymmetries in the market connectedness, (2) Influence of Macro Factors in the market connectedness and spillover, (3) the Role of Oil in market spillovers and hedging portfolios, (4) Dynamic cross-market connectedness and spillovers. The ongoing financial turmoil and market advancements make market connectedness a vital research topic; thus, our work would significantly contribute to macroeconomic policymakers, researchers and hedging investors.
Keywords
Market Connectedness; Volatility Spillovers; Bibliometric analysis; Meta-analysis; Content analysis; Asymmetric information; Portfolio diversification
Subject
Business, Economics and Management, Finance
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.
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