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Risk synchronization in Australia stock market: A sector analysis

Author

Listed:
  • Asafo-Adjei, Emmanuel
  • Tiwari, Aviral Kumar
  • Abakah, Emmanuel Joel Aikins
  • Lee, Chi-Chuan

Abstract

This research employs dynamic connectedness to assess the financial risk synchronization of 11 stock sector indices in Australia spanning May 10, 2001, to April 16, 2021. The results suggest that stock sectors in Australia co-move to a considerable degree with minimal expectations for own contribution to the system. The degree of connectedness rises during major crises. The study adds value to the specific strategies for portfolio allocation, rebalancing, and redeployment of stock sectors amid crises. Evidence also reveals that, except for the persistent net transmitter (Financials) and intermediate geared toward net transmitting (Industrials and Consumer Discretionary), all the remaining sectors offered safe-haven benefits during the global financial crisis and the COVID-19 pandemic. The pairwise dynamic connectedness shows that asset allocation between most pairs sometimes offers hedge, diversification, or safe-haven benefits.

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  • Asafo-Adjei, Emmanuel & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2024. "Risk synchronization in Australia stock market: A sector analysis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 582-610.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pa:p:582-610
    DOI: 10.1016/j.iref.2024.03.042
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    More about this item

    Keywords

    Stock sectors; Dynamic connectedness; Fragility; Net transmitters; Net receivers;
    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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