Dynamic connectedness among regional FinTech indices in times of turbulences

Alshater M. M., POLAT O., El Khoury R., Yoon S.

Applied Economics Letters, vol.31, no.7, pp.670-675, 2024 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 31 Issue: 7
  • Publication Date: 2024
  • Doi Number: 10.1080/13504851.2022.2141443
  • Journal Name: Applied Economics Letters
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Public Affairs Index, Veterinary Science Database, DIALNET
  • Page Numbers: pp.670-675
  • Keywords: directional spillover, dynamic connectedness network, FinTech, Russia’s invasion of Ukraine, time and frequency domain
  • Bilecik Şeyh Edebali University Affiliated: Yes

Abstract

This study examines the connectedness among several regional FinTech indices and analyses the impact of Russia’s invasion of Ukraine on the dynamic spillovers. We employ the time-varying parameter vector autoregression and time-frequency connectedness network approach using data spanning from 2 September 2021 until 4 April 2022. We find that the returns and volatility spillovers among FinTech indices burst with the outbreak of the invasion. During this invasion, Asia-Pacific and Japan FinTech appeared to be the largest recipients of the spillovers. In contrast, Europe and North America FinTech appeared to be the largest transmitters of spillovers. The short-term effect among regional FinTech indices is stronger than the long-term relationship.