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- Publisher Website: 10.1111/fima.12430
- Scopus: eid_2-s2.0-85164341628
- WOS: WOS:001020778500001
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Article: Estimating contagion mechanism in global equity market with time‐zone effect
Title | Estimating contagion mechanism in global equity market with time‐zone effect |
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Authors | |
Keywords | financial contagion LASSO network time-zone effect VAR models |
Issue Date | 3-Jul-2023 |
Publisher | Wiley |
Citation | Financial Management, 2023, v. 52, n. 3, p. 543-572 How to Cite? |
Abstract | This paper proposes a time-zone vector autoregressive (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID-19 crisis through a rolling window method. Our study of comovements using VAR coefficients reveals a resonance effect in the global system. Findings on densities and assortativities suggest the existence of the transmission mechanism in all periods and abnormal structural changes during the crises. Strength analysis uncovers the information transmission mechanism across continents over normal and turmoil periods and emphasizes specific stock markets' unique roles. We examine dynamic continent strengths to demonstrate the contagion mechanism in the global equity market over an extended period. Incorporating the time-zone effect significantly enhances the VAR model's interpretability. Signed networks provide more information on global equity markets and better identify critical contagion patterns than unsigned networks. |
Persistent Identifier | http://hdl.handle.net/10722/333936 |
ISSN | 2023 Impact Factor: 2.9 2023 SCImago Journal Rankings: 2.131 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Wu, Boyao | - |
dc.contributor.author | Huang, Difang | - |
dc.contributor.author | Chen, Muzi | - |
dc.date.accessioned | 2023-10-10T03:14:33Z | - |
dc.date.available | 2023-10-10T03:14:33Z | - |
dc.date.issued | 2023-07-03 | - |
dc.identifier.citation | Financial Management, 2023, v. 52, n. 3, p. 543-572 | - |
dc.identifier.issn | 0046-3892 | - |
dc.identifier.uri | http://hdl.handle.net/10722/333936 | - |
dc.description.abstract | <p>This paper proposes a time-zone vector autoregressive (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID-19 crisis through a rolling window method. Our study of comovements using VAR coefficients reveals a resonance effect in the global system. Findings on densities and assortativities suggest the existence of the transmission mechanism in all periods and abnormal structural changes during the crises. Strength analysis uncovers the information transmission mechanism across continents over normal and turmoil periods and emphasizes specific stock markets' unique roles. We examine dynamic continent strengths to demonstrate the contagion mechanism in the global equity market over an extended period. Incorporating the time-zone effect significantly enhances the VAR model's interpretability. Signed networks provide more information on global equity markets and better identify critical contagion patterns than unsigned networks.<br></p> | - |
dc.language | eng | - |
dc.publisher | Wiley | - |
dc.relation.ispartof | Financial Management | - |
dc.subject | financial contagion | - |
dc.subject | LASSO | - |
dc.subject | network | - |
dc.subject | time-zone effect | - |
dc.subject | VAR models | - |
dc.title | Estimating contagion mechanism in global equity market with time‐zone effect | - |
dc.type | Article | - |
dc.identifier.doi | 10.1111/fima.12430 | - |
dc.identifier.scopus | eid_2-s2.0-85164341628 | - |
dc.identifier.volume | 52 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 543 | - |
dc.identifier.epage | 572 | - |
dc.identifier.eissn | 1755-053X | - |
dc.identifier.isi | WOS:001020778500001 | - |
dc.identifier.issnl | 0046-3892 | - |