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Networks of Volatility Spillovers among Stock Markets

Listed author(s):
  • Eduard Baumöhl
  • Evžen Kocenda
  • Stefan Lyócsa
  • Tomás Vyrost

In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.

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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 6476.

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Date of creation: 2017
Handle: RePEc:ces:ceswps:_6476
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