Work

Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach

Year: 2024

Type: article

Abstract: This paper investigates the intertemporal risk effects in global stock markets using a novel network topology based on relative importance analysis. The rolling time window approach identifies dynamic and asymmetric risk spillovers. The results reveal complex and asymmetric intertemporal risk spillovers in international stock markets. Europe and America are the main risk transmitters. Countries in the forecast period, receive more risk from the international stock market. Major events that generate stock market turbulence will dramatically increase intertemporal risk spillovers. These findings have implications for risk management and the stability of the international stock market.

Source: Finance research letters

DOI: 10.1016/j.frl.2024.105371

Authors: Xu Zhang, Zhiyu Lv, Muhammad Abubakr Naeem, Abdul Rauf, Jiawen Liu

Institutions: Nanjing University of Information Science and Technology, United Arab Emirates University, Lebanese American University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,350

Funders: National Natural Science Foundation of China, Social Science Foundation of Jiangsu Province, Postdoctoral Research Foundation of China