Academic Journal
أعرض في EDS

Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach

التفاصيل البيبلوغرافية
العنوان: Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach
المؤلفون: Ki-Hong Choi, Seong-Min Yoon
المصدر: Systems, Vol 11, Iss 4, p 207 (2023)
بيانات النشر: MDPI AG, 2023.
سنة النشر: 2023
المجموعة: LCC:Systems engineering
LCC:Technology (General)
مصطلحات موضوعية: risk connectedness, value-at-risk, international stock market, extreme risk, Systems engineering, TA168, Technology (General), T1-995
الوصف: In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and downside value-at-risk. We document that the connectedness level of the downside risk is higher than that of the upside risk and stock markets are more sensitive when the stock market declines. We also find that specific periods (e.g., the global financial crisis, the European debt crisis, and the COVID-19 turmoil) intensified the spillover effects across international stock markets. Our results demonstrate that DE, UK, EU, and US acted as net transmitters of dynamic connectedness; however, Japan, China, India, and Hong Kong acted as net receivers of dynamic connectedness during the sample period. These findings provide significant new information to policymakers and market participants.
نوع الوثيقة: article
وصف الملف: electronic resource
اللغة: English
تدمد: 2079-8954
Relation: https://www.mdpi.com/2079-8954/11/4/207; https://doaj.org/toc/2079-8954
DOI: 10.3390/systems11040207
URL الوصول: https://doaj.org/article/c2257ad5bedd4474b35ebf8cde58a438
رقم الانضمام: edsdoj.2257ad5bedd4474b35ebf8cde58a438
قاعدة البيانات: Directory of Open Access Journals
الوصف
تدمد:20798954
DOI:10.3390/systems11040207