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Interconnected mult...
Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets
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- Wang, Gang-Jin (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Wana, Li (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Feng, Yusen (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Xie, Chi (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Uddin, Gazi Salah (författare)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten,Univ Cambridge, England
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- Zhu, You (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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(creator_code:org_t)
- ELSEVIER SCIENCE INC, 2023
- 2023
- Engelska.
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Ingår i: International Review of Financial Analysis. - : ELSEVIER SCIENCE INC. - 1057-5219 .- 1873-8079. ; 86
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This paper proposes a novel interconnected multilayer network framework based on variance decomposition and block aggregation technique, which can be further served as a tool of linking and measuring cross-market and within-market contagion. We apply it to quantifying connectedness among global stock and foreign exchange (forex) markets, and demonstrate that measuring volatility spillovers of both stock and forex markets simultaneously could support a more comprehensive view for financial risk contagion. We find that (i) stock markets transmit the larger spillovers to forex markets, (ii) the French stock market is the largest risk transmitter in multilayer networks, while some Asian stock markets and most forex markets are net risk receivers, and (iii) interconnected multilayer networks could signal the financial instability during the global financial crisis and the COVID-19 crisis. Our work provides a new perspective and method for studying the cross-market risk contagion.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- Interconnected multilayer network; Connectedness; Stock markets; Forex markets; Volatility spillovers
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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