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Dynamic effects of network exposure on equity markets

Author

Listed:
  • Mardi Dungey

    (University of Tasmania)

  • Moses Kangogo

    (University of Tasmania)

  • Vladimir Volkov

    (University of Tasmania)

Abstract

We investigate the contribution of network exposure to both shock transmission and absorption. Our data sample comprises 45 economies for the period 1998–2018 to which we apply spatial econometric estimation technique. Our empirical findings show that both network intensity and interconnectedness in the financial system have impact on increasing network exposure. We also demonstrate how to estimate network intensity in the financial system. Our results indicate that an increased network intensity parameter is associated to period when the financial system is under stress. The results show high exposure of the financial system to vulnerabilities. The results suggest the changing market conditions increase the exposures to the financial system. Thus, effective ways to monitor the financial system should be implemented by the policy makers to reduce the chances of financial instabilities.

Suggested Citation

  • Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
    • Handle: RePEc:spr:eurase:v:12:y:2022:i:4:d:10.1007_s40822-022-00210-y
    DOI: 10.1007/s40822-022-00210-y
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    More about this item

    Keywords

    Financial markets; Financial networks; Financial stability;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G01 - Financial Economics - - General - - - Financial Crises
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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