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Market inefficiency spillover network across different regimes

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  • Yang, Jie
  • Feng, Yun

Abstract

This study examines risk transmission among 34 stock markets from the perspective of market inefficiency spillover effects. We suggest the use of the hidden Markov model along with the multifractal detrended fluctuation analysis to measure the degree of market efficiency for both bull and bear regimes. Diebold–Yilmaz spillover indices are used to document the asymmetric characteristics of market inefficiency spillovers in bull and bear regimes. When the market crashes or bubbles and the external economic and financial environment worsens, inefficiency spillovers increase significantly.

Suggested Citation

  • Yang, Jie & Feng, Yun, 2023. "Market inefficiency spillover network across different regimes," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009492
    DOI: 10.1016/j.frl.2023.104577
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    References listed on IDEAS

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    More about this item

    Keywords

    Market inefficiency spillover; Network connectedness; Multifractal analysis; Market regimes;
    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
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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