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Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis

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  • Zhang, Weiping
  • Zhuang, Xintian
  • Wu, Dongmei

Abstract

This paper investigates the spatial connectedness of volatility spillovers in G20 stock markets. For this purpose, we apply GARCH–BEKK model to estimate volatility spillover and construct volatility networks. The results show that the spatial connectedness is time-varying, and the turmoil periods intensify volatility linkages. Further, we find that volatility networks can be divided into four different blocks by block models. And the volatility in each block has obvious “rich-club”. In the world trade friction, the source of the volatility risk is the country that is levied by the US tariff, and the volatility risk will eventually spread to the US.

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  • Zhang, Weiping & Zhuang, Xintian & Wu, Dongmei, 2020. "Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304805
    DOI: 10.1016/j.frl.2019.08.022
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    Cited by:

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    3. Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
    4. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
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    6. Burak Korkusuz & David G. McMillan & Dimos Kambouroudis, 2023. "Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets," Empirical Economics, Springer, vol. 64(4), pages 1517-1537, April.
    7. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
    8. Zhang, Yifan & Ng, S. Thomas, 2021. "Unveiling the rich-club phenomenon in urban mobility networks through the spatiotemporal characteristics of passenger flow," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 584(C).
    9. Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    10. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    11. Li, Wenqi, 2021. "COVID-19 and asymmetric volatility spillovers across global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    12. Chen, Zhang-HangJian & Li, Sai-Ping & Cai, Mei-Ling & Zhong, Li-Xin & Ren, Fei, 2021. "Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    13. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    14. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    15. Ke-Liang Wang & Fu-Qin Zhang, 2021. "Investigating the Spatial Heterogeneity and Correlation Network of Green Innovation Efficiency in China," Sustainability, MDPI, vol. 13(3), pages 1-20, January.

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    More about this item

    Keywords

    Spatial connectedness; Volatility networks; G20 stock markets; Block models;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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