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Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers

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  • Gong, Jue
  • Wang, Gang-Jin
  • Zhou, Yang
  • Zhu, You
  • Xie, Chi
  • Foglia, Matteo

Abstract

We propose a multiplex network including layers of realized variance (RV), implied variance (IV), and variance risk premium (VRP) to investigate the volatility information transmission among 18 global financial markets through the spillover index in the variance decomposition framework. We innovatively study the connectedness of global volatility from aspects of RV, IV, and VRP to portray the interrelation between market volatility and investor sentiments. Upon inspecting and comparing static and dynamic topological characteristics on each layer, we find that information transmission mechanism is different among the three layers. Spillover effects are observed to be the strongest on the IV layer in the long term, while the most evident spillover shocks are observed on the VRP layer in the short term. At the market level, European and the US markets are the main spillover emitters, while Asian markets primarily are spillover recipients. Our study provides valuable insights on global risk management and prevention for portfolio managers and policy makers.

Suggested Citation

  • Gong, Jue & Wang, Gang-Jin & Zhou, Yang & Zhu, You & Xie, Chi & Foglia, Matteo, 2023. "Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x
    DOI: 10.1016/j.intfin.2023.101733
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    More about this item

    Keywords

    Volatility spillover; Multiplex network; Information transmission; Investor sentiment; Variance risk premium;
    All these keywords.

    JEL classification:

    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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