IDEAS home Printed from https://ideas.repec.org/a/taf/recsxx/v26y2023i1p2212455.html
   My bibliography  Save this article

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era: New evidence from the VARX-DCC-MEGARCH model

Author

Listed:
  • Xiaoxing Liu
  • Khurram Shehzad

Abstract

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current daytime returns transmission from the DAX 30, FTSE 100, and Nikkei 225 index to ensuing overnight returns of the S&P 500 index was inconsequential during the stable period. The study also quantified that shocks befallen in the current overnight returns of the S&P 500 partake bidirectional and negative ties with shocks that occurred in subsequent day-wise returns of the DAX 30 index. Moreover, during crises, only the Shanghai composite index spillovers the volatility of the FTSE 100 index. The study revealed a leverage effect for the day-wise return of the S&P 500, DAX 30, and overnight returns of the FTSE 100 index.

Suggested Citation

  • Xiaoxing Liu & Khurram Shehzad, 2023. "Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era: New evidence from the VARX-DCC-MEGARCH model," Journal of Applied Economics, Taylor & Francis Journals, vol. 26(1), pages 2212455-221, December.
    • Handle: RePEc:taf:recsxx:v:26:y:2023:i:1:p:2212455
    DOI: 10.1080/15140326.2023.2212455
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15140326.2023.2212455
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15140326.2023.2212455?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:recsxx:v:26:y:2023:i:1:p:2212455. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/recs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.