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Volatility connectedness across global e-commerce stocks

Author

Listed:
  • Yakup Arı

    (Alanya Alaaddin Keykubat University, Department of Economics)

  • Hakan Kurt

    (Alanya Alaaddin Keykubat University, Department of Economics)

  • Harun Uçak

    (Alanya Alaaddin Keykubat University, Department of Economics)

Abstract

This paper studies the volatility connectedness between the stock prices of e-commerce companies. For that matter, we implement the TVP-VAR-Based connectedness procedure to unearth the dynamic structure of volatilities. This approach helps us to determine the volatility spillover between assets that are risk receivers or risk transmitters. We utilize the daily log-return data of the largest e-commerce companies by market cap. The data set consists of the daily open, close, high, and low prices of stocks between 2019-01-02 and 2022-12-23. We obtain the volatility of stocks using the Garman-Klass range-based approach. The findings reveal that the average total connected index is relatively high by 65.45%, which means that the forecasting error variance in the variables is due to the transmission and connectedness between these variables. Furthermore, net pairwise directional connectedness results evidence that the most dominant stock is Amazon within the network. Ultimately, we find the strongest bilateral volatility interconnectedness to occur between the stocks of Alibaba and Jingdong Mall.

Suggested Citation

  • Yakup Arı & Hakan Kurt & Harun Uçak, 2024. "Volatility connectedness across global e-commerce stocks," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 75(4), pages 295-310.
    • Handle: RePEc:hde:epregl:v:75:y:2024:i:4:p:295-310
    DOI: 10.32910/ep.75.4.1
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    JEL classification:

    • L8 - Industrial Organization - - Industry Studies: Services
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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