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High-frequency stock market connectedness in G-7: evidence from time-frequency domains

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  • Onur Polat

Abstract

In this work, we examine stock market contagion in G-7 countries by implementing the frequency connectedness methodology. In this context, we use daily MSCI Financial Indexes for G-7 countries ranging from 1995:01 to 2018:12 in the empirical model. The total spillover index computed in the 200-day moving window efficiently responds to prominent financial stress incidents over the analysed period. Furthermore, we examine the network topology of directional TO/FROM spillovers amongst G-7 stock markets. The network analysis underlines that the most advanced economies stand at the epicentre of the network and the Eurozone countries are strongly interconnected. Empirical findings of the study highlight the importance of constituting an efficacious regulatory framework for beholding the unsystematic risk.

Suggested Citation

  • Onur Polat, 2022. "High-frequency stock market connectedness in G-7: evidence from time-frequency domains," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 24(1/2), pages 16-28.
    • Handle: RePEc:ids:ijecbr:v:24:y:2022:i:1/2:p:16-28
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    Cited by:

    1. Nupur Moni Das & Bhabani Sankar Rout & Yashmin Khatun, 2023. "Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 795-816, December.

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