Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 526, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2019.03.121
Keywords
Volatility spillover; Network connectedness; Global futures markets; Financial crises
Categories
Funding
- Korea Exchange in 2018
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This paper analyzes the dynamic volatility spillovers and network connectedness between stock index and commodity futures markets using the multivariate DECO-FIGARCH model and the spillover index method of Diebold and Yilmaz (2014). We estimate a positive equicorrelation between the index and commodity futures and find the highest level of spillover index during the 2008-2009 global financial crisis and 2010-2012 European sovereign debt crisis. Further, we adopt both static and dynamic spillover approaches to identify the net spillover transmitter or receiver across global futures markets. We also measure the directional spillover and assess the net pairwise spillover across global futures markets. Finally, our network connectedness provides specific information on the net pairwise connectedness and intensity of connectedness in different sub-periods. (C) 2019 Elsevier B.V. All rights reserved.
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