Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/161915
Authors: 
Baumöhl, Eduard
Kocenda, Ev en
Lyócsa, Stefan
Vyrost, Tomás
Year of Publication: 
2017
Series/Report no.: 
CESifo Working Paper 6476
Abstract: 
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.
Subjects: 
volatility spillovers
stock markets
shock transmission
Granger causality network
spatial regression
financial crisis
JEL: 
C31
C58
F01
G01
G15
Document Type: 
Working Paper

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