Network Analysis of International Financial Markets Contagion Based on Volatility Indexes
Network Analysis of International Financial Markets Contagion Based on Volatility Indexes
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DOI：
10.1016/j.frl.2023.104039
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发表时间：
2023-06
影响因子：
10.4
通讯作者：
Weinan Lin;Ruolan Ouyang;Xuan Zhang;Chen Zhuang
中科院分区：
文献类型：
--
作者：
Weinan Lin;Ruolan Ouyang;Xuan Zhang;Chen Zhuang
本文以五个波动率指数为指标，考察了主要股票市场之间的风险传染。采用了静态和动态两种连通性方法。首先，整体连通性有助于监控动态的系统性风险。夏普总溢出效应的增加与实际风险事件相对应，例如新冠肺炎的爆发。其次，香港是连接国内和国际股市的桥梁，在一定程度上对内地市场构成了保护屏障。第三，发达经济体主要充当网络中的净风险传递者。第四，在疫情过后，欧洲在风险蔓延方面显示出更大的力量。
In this paper, five volatility indexes are used as the proxy to examine the risk contagion among major stock markets. Both static and dynamic connectedness methods are employed. First, the overall connectedness can help monitor the dynamic systemic risk. Sharpe increases in total spillover correspond to actual risk events, e.g., the outbreak of COVID-19. Second, Hong Kong bridges the domestic and international stock markets, and forms a protective barrier for the mainland market to some extend. Third, developed economies mainly act as the net risk transmitters in the network. Fourth, Europe shows greater power in risk contagion after the pandemic.