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Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets

Author

Listed:
  • Mensi, Walid
  • Boubaker, Ferihane Zaraa
  • Al-Yahyaee, Khamis Hamed
  • Kang, Sang Hoon

Abstract

This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis to measure volatility spillovers using the Diebold and Yilmaz (2012, 2014) methodology. We also examine the network connectedness at different stages of recent crises. Our finding indicates that recent crises intensify volatility spillovers, supporting the financial contagion effects. Furthermore, the GIPSI (except Spain and Greece markets), global and regional U.S. markets are net transmitter of shocks while the rest stock markets are net receiver of shocks.

Suggested Citation

  • Mensi, Walid & Boubaker, Ferihane Zaraa & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2018. "Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets," Finance Research Letters, Elsevier, vol. 25(C), pages 230-238.
    • Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:230-238
    DOI: 10.1016/j.frl.2017.10.032
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    References listed on IDEAS

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    1. Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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