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Information spillover features in global financial markets: A systematic analysis

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  • Long, Wen
  • Guo, Ying
  • Wang, Ying

Abstract

This study investigates the characteristics of information spillover in 32 major stock markets worldwide and takes into account the Global Financial Crisis in 2008, using the information spillover test method proposed by Hong and complex network tools. The results provide evidence that risk spillover is the strongest among four kinds of information spillover, and accelerates and aggregates post crisis. Downside extreme risk spillover is stronger than upside extreme risk spillover; the former spreads faster and the latter slows post crisis. We assign markets to four roles: leader, follower, communicator, and independent. We then distinguish the role of each market and information spillover pattern pre and post crisis. We further explain the characteristics of different communities in the global markets based on our proposed network clustering method.

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  • Long, Wen & Guo, Ying & Wang, Ying, 2021. "Information spillover features in global financial markets: A systematic analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000167
    DOI: 10.1016/j.ribaf.2021.101395
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