High-frequency stock market connectedness in G-7: evidence from time-frequency domains

POLAT O.

International Journal of Economics and Business Research, cilt.24, sa.1-2, ss.16-28, 2022 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 24 Sayı: 1-2
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1504/ijebr.2022.124278
  • Dergi Adı: International Journal of Economics and Business Research
  • Derginin Tarandığı İndeksler: Scopus, Business Source Elite, Business Source Premier, EconLit, INSPEC
  • Sayfa Sayıları: ss.16-28
  • Anahtar Kelimeler: financial contagion, frequency connectedness, idiosyncratic risk, MSCI Financials Index, spectral analysis
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

© 2022 Inderscience Enterprises Ltd.In this work, we examine stock market contagion in G-7 countries by implementing the frequency connectedness methodology. In this context, we use daily MSCI Financial Indexes for G-7 countries ranging from 1995:01 to 2018:12 in the empirical model. The total spillover index computed in the 200-day moving window efficiently responds to prominent financial stress incidents over the analysed period. Furthermore, we examine the network topology of directional TO/FROM spillovers amongst G-7 stock markets. The network analysis underlines that the most advanced economies stand at the epicentre of the network and the Eurozone countries are strongly interconnected. Empirical findings of the study highlight the importance of constituting an efficacious regulatory framework for beholding the unsystematic risk.