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

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

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.

Suggested Citation

  • Zhang, Xu & Lv, Zhiyu & Naeem, Muhammad Abubakr & Rauf, Abdul & Liu, Jiawen, 2024. "Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach," Finance Research Letters, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:finlet:v:63:y:2024:i:c:s154461232400401x
    DOI: 10.1016/j.frl.2024.105371
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