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

Authors: Onur Polat

Addresses: Department of Public Finance, Faculty of Economic and Administrative Sciences, Bilecik Seyh Edebali University, Gulumbe Campus, 1st Floor, 11210 Bilecik, Turkey

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.

Keywords: MSCI Financials Index; idiosyncratic risk; financial contagion; spectral analysis; frequency connectedness.

DOI: 10.1504/IJEBR.2022.124278

International Journal of Economics and Business Research, 2022 Vol.24 No.1/2, pp.16 - 28

Received: 04 Jun 2020
Accepted: 28 Sep 2020
Published online: 21 Jul 2022 *

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