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Volatility spillovers, structural breaks and uncertainty in technology sector markets

Author

Listed:
  • Linn Arnell

    (Landshypotek Bank)

  • Emma Engström

    (Linköping University)

  • Gazi Salah Uddin

    (Linköping University)

  • Md. Bokhtiar Hasan

    (Islamic University)

  • Sang Hoon Kang

    (Pusan National University)

Abstract

This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty. Our results suggest that structural breaks have diverse effects on financial asset connectedness and that the level of bond linkage increases when the trend breaks. We see a growing co-movement between the technology sector and major financial assets when uncertainty is considered. Overall, our findings indicate that the connectedness response varies depending on the type of uncertainty shock.

Suggested Citation

  • Linn Arnell & Emma Engström & Gazi Salah Uddin & Md. Bokhtiar Hasan & Sang Hoon Kang, 2023. "Volatility spillovers, structural breaks and uncertainty in technology sector markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
    • Handle: RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00502-5
    DOI: 10.1186/s40854-023-00502-5
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