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Dynamic volatility spillover and network connectedness across ASX sector markets

Author

Listed:
  • Ki-Hong Choi

    (Pusan National University)

  • Ron P. McIver

    (University of South Australia)

  • Salvatore Ferraro

    (Global Founders Funds Management)

  • Lei Xu

    (University of South Australia)

  • Sang Hoon Kang

    (Pusan National University)

Abstract

This study measures dynamic volatility spillovers and identifies the connectedness network across 11 Australian Securities Exchange (ASX) sector indices using the spillover index methodology of Diebold and Yilmaz (J Econ 182:119–134, 2014). Additionally, we visualize volatility connectedness relationships as links within a complex network to capture the propagation path of volatility connectedness across the 11 ASX sectors. Our results indicate that recent financial crises intensified the degree of volatility connectedness across the 11 ASX sectors, supporting the contagion hypothesis. Importantly, the financial sector is the main transmitter of volatility connectedness across the 11 ASX sector markets.

Suggested Citation

  • Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.
    • Handle: RePEc:spr:jecfin:v:45:y:2021:i:4:d:10.1007_s12197-021-09544-w
    DOI: 10.1007/s12197-021-09544-w
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    More about this item

    Keywords

    Dynamic volatility spillovers; Financial crisis; Connectedness network; Sector indices;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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