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Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets

Author

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  • Yahya, Muhammad
  • Allahdadi, Mohammad Reza
  • Uddin, Gazi Salah
  • Park, Donghyun
  • Wang, Gang-Jin

Abstract

This study investigates the interconnectedness of ASEAN-4, regional, and global financial markets by analyzing risk spillover layers using multilayer information spillover network topology across instruments including bonds, forex, and stocks. The findings uncover intricate relationships between markets. Extreme risk and volatility spillover layers may indicate early financial crises, while mean spillovers exhibit hysteresis, peaking during or after crises. ASEAN-4 interconnectedness remains relatively stable, while global markets demonstrate robust interconnectedness with high overlap. The findings improve understanding of global financial structure amid deglobalization, holding policymaker and participant implications by revealing complex connections during financial crises.

Suggested Citation

  • Yahya, Muhammad & Allahdadi, Mohammad Reza & Uddin, Gazi Salah & Park, Donghyun & Wang, Gang-Jin, 2024. "Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011200
    DOI: 10.1016/j.frl.2023.104748
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    Keywords

    ASEAN-4 markets; Multilayer network; Spillover; Bonds;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
    • M48 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Government Policy and Regulation
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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