Return and volatility connectedness across stock markets: A global perspective

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2023-09-11 DOI:10.1080/10293523.2023.2240562

Huifu Nong

引用次数: 0

Abstract

The connectedness of stock markets is inevitable because of the rapid increases in global financialisation, financial liberalisation, and integration of national economies. This study therefore increases the number of stock markets included in the LASSO-VAR model to separately estimate the connectedness of the daily-frequency market returns and volatility of a sample comprising 50 selected stock markets between 2011 and 2021. We observe that the total connectedness index changes substantially over time, exhibiting the highest change during market turbulences, i.e., the beginning of COVID-19. We also show that the transmission of shocks originates from most European markets and then impacting Asian–Pacific markets, although their intensities exhibit significant time variations. Finally, we find that macroeconomic news and uncertainties are drivers of total connectedness, while directional total connectedness is mainly driven by global rather than domestic factors.

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股票市场的回报与波动关联性:全球视角

由于全球金融化、金融自由化和各国经济一体化的快速发展，股市的连通性是不可避免的。因此，本研究增加了LASSO-VAR模型中包含的股票市场的数量，以单独估计2011年至2021年期间由50个选定股票市场组成的样本的日频率市场回报和波动性的连通性。我们观察到，总连通性指数随时间变化很大，在市场动荡期间，即新冠疫情初期，变化幅度最大。我们还表明，冲击的传播起源于大多数欧洲市场，然后影响亚太市场，尽管它们的强度表现出显著的时间变化。最后，我们发现宏观经济新闻和不确定性是总连通性的驱动因素，而定向总连通性主要由全球因素而不是国内因素驱动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.