Network connectedness and net spillover between financial and commodity markets

By Seong‐Min Yoon, Md. Al Mamun, Gazi Salah Uddin, Sang Hoon Kang. The North American journal of economics and finance, 2019

177 citations recorded by the source corpus.

Abstract We extend the prior literature on market connectedness and spillover by quantifying the size of return connectedness across markets (assets). Applying the network spillover methodology, we perform both static and dynamic analyses to quantify the net spillover shock transmission from one market to another market (stock, bond, currency, and commodities) from December 1999 to June 2016. Thus, we measure the net pairwise spillover and assess the net directional connectedness for each market (asset class). Finally, our visual depiction of a network connectedness framework provides specific information on portfolio strategies for cross-border portfolio managers.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/cdf15ed09fa4498f262612055662aebcf2063989