Quantile coherency networks of international stock markets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.frl.2019.04.022
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
References listed on IDEAS
- Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013.
"Jump tails, extreme dependencies, and the distribution of stock returns,"
Journal of Econometrics, Elsevier, vol. 172(2), pages 307-324.
- Tim Bollerslev & Viktor Todorov, 2010. "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers 2010-64, Department of Economics and Business Economics, Aarhus University.
- Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018.
"Networks of volatility spillovers among stock markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
- Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016. "Networks of volatility spillovers among stock markets," KIER Working Papers 941, Kyoto University, Institute of Economic Research.
- Eduard Baumöhl & Evžen Kocenda & Stefan Lyócsa & Tomás Vyrost, 2017. "Networks of Volatility Spillovers among Stock Markets," CESifo Working Paper Series 6476, CESifo.
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Gazi I. Kara & Mary Tian & Margaret Yellen, 2015. "Taxonomy of Studies on Interconnectedness," FEDS Notes 2015-07-31, Board of Governors of the Federal Reserve System (U.S.).
- Fenghua Wen & Xin Yang & Wei‐Xing Zhou, 2019. "Tail dependence networks of global stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 558-567, January.
- Baumöhl, Eduard, 2019.
"Are cryptocurrencies connected to forex? A quantile cross-spectral approach,"
Finance Research Letters, Elsevier, vol. 29(C), pages 363-372.
- Baumöhl, Eduard, 2018. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," EconStor Preprints 174884, ZBW - Leibniz Information Centre for Economics.
- Li, Wenwei & Hommel, Ulrich & Paterlini, Sandra, 2018. "Network topology and systemic risk: Evidence from the Euro Stoxx market," Finance Research Letters, Elsevier, vol. 27(C), pages 105-112.
- Boubaker, Sabri & Jouini, Jamel & Lahiani, Amine, 2016.
"Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 14-28.
- Sabri Boubaker & Jamel Jouini & Amine Lahiani, 2016. "Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis," Post-Print hal-03529252, HAL.
- Boubaker, Sabri & Jouini, Jamel, 2014.
"Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework,"
The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 322-335.
- Sabri Boubaker & Jamel Jouini, 2014. "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," Post-Print hal-01158111, HAL.
- Mensi, Walid & Boubaker, Ferihane Zaraa & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2018. "Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets," Finance Research Letters, Elsevier, vol. 25(C), pages 230-238.
- Coelho, Ricardo & Gilmore, Claire G. & Lucey, Brian & Richmond, Peter & Hutzler, Stefan, 2007.
"The evolution of interdependence in world equity markets—Evidence from minimum spanning trees,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 455-466.
- Ricardo Coehlo & Claire Gilmore & Brian M. Lucey, 2006. "The Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees," The Institute for International Integration Studies Discussion Paper Series iiisdp142, IIIS.
- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
- Jozef BarunÃk & Tobias Kley, 2019.
"Quantile coherency: A general measure for dependence between cyclical economic variables,"
The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
- Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
- Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Zakaria, Muhammad, 2018.
"A global network topology of stock markets: Transmitters and receivers of spillover effects,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2136-2153.
- Syed Jawad Hussain Shahzad & Jose Areola Hernandez & Mobeen Ur Rehman & Khamis Hamed Al-Yahyaee & Muhammad Zakaria, 2018. "A global network topology of stock markets: Transmitters and receivers of spillover effects," Post-Print hal-01994762, HAL.
- Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhang, Weiping & Zhuang, Xintian & Wu, Dongmei, 2020. "Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis," Finance Research Letters, Elsevier, vol. 34(C).
- Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhai, Kaikai, 2021. "Multiscale and partial correlation networks analysis of risk connectedness in global equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
- Yizhuo Zhang & Rui Chen & Ding Ma, 2020. "A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework," Sustainability, MDPI, vol. 12(11), pages 1-23, June.
- Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Wang, Dan & Huang, Wei-Qiang, 2021. "Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- Mudassar Hasan & Muhammad Abubakr Naeem & Muhammad Arif & Syed Jawad Hussain Shahzad & Xuan Vinh Vo, 2022. "Liquidity connectedness in cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
- Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2017.
"Equity markets’ clustering and the global financial crisis,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1905-1922, December.
- León, C. & Kim, Geun-Young & Martínez, Constanza & Lee, Daeyup, 2016. "Equity Markets’ Clustering and the Global Financial Crisis," Discussion Paper 2016-016, Tilburg University, Center for Economic Research.
- Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2016. "Equity Markets’ Clustering and the Global Financial Crisis," Borradores de Economia 937, Banco de la Republica de Colombia.
- León, C. & Kim, Geun-Young & Martínez, Constanza & Lee, Daeyup, 2016. "Equity Markets’ Clustering and the Global Financial Crisis," Other publications TiSEM e5c31b4d-dc83-4d3e-9a73-b, Tilburg University, School of Economics and Management.
- Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Erick Treviño Aguilar, 2020. "The interdependency structure in the Mexican stock exchange: A network approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-31, October.
- Zaghum Umar & Oluwasegun Babatunde Adekoya & Mariya Gubareva & Sabri Boubaker, 2024.
"Returns and volatility connectedness among the Eurozone equity markets,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3103-3122, July.
- Z. Umar & O.B. Adekoya & M. Gubareva & Sabri Boubaker, 2023. "Returns and Volatility Connectedness among the EurozoDne Equity Markets," Post-Print hal-04434044, HAL.
- Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
- Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2020. "Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets," Energy, Elsevier, vol. 207(C).
- Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
- Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019.
"The changing network of financial market linkages: The Asian experience,"
International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
- Biplob Chowdhury & Mardi Dungey & Moses Kangogo & Mohammad Abu Sayeed & Vladimir Volkov, 2018. "The Changing Network of Financial Market Linkages: The Asian Experience," Working Papers id:12924, eSocialSciences.
- Dungey, Mardi & Chowdhury, Biplob & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2018. "The Changing Network of Financial Market Linkages: The Asian Experience," ADB Economics Working Paper Series 558, Asian Development Bank.
- Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2018. "The changing network of financial market linkages: the Asian experience," Working Papers 2018-05, University of Tasmania, Tasmanian School of Business and Economics.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019.
"Return spillovers around the globe: A network approach,"
Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
- Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl, 2015. "Return spillovers around the globe: A network approach," Papers 1507.06242, arXiv.org, revised Nov 2015.
- Deev, Oleg & Lyócsa, Štefan, 2020. "Connectedness of financial institutions in Europe: A network approach across quantiles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
- Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
- Yuan, Ying & Du, Xinyu, 2023. "Dynamic spillovers across global stock markets during the COVID-19 pandemic: Evidence from jumps and higher moments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
- Shahzad, Umer & Ghaemi Asl, Mahdi & Tedeschi, Marco, 2023. "Is there any market state-dependent contribution from Blockchain-enabled solutions to ESG investments? Evidence from conventional and Islamic ESG stocks," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 139-154.
- Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
More about this item
Keywords
Quantile coherency; Networks; Stock markets; Extreme negative returns; Financial crisis;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:119-129. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.