High-frequency stock market connectedness in G-7: evidence from time-frequency domains Online publication date: Thu, 21-Jul-2022
by Onur Polat
International Journal of Economics and Business Research (IJEBR), Vol. 24, No. 1/2, 2022
Abstract: 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.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Economics and Business Research (IJEBR):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com