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Market Connectedness and Volatility Spillovers: A Meta-Literature Review

Author

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  • Kamesh Anand K

    (Department of Economics and Finance, BITS Pilani KK Birla Goa Campus, Sancoale 403726, India)

  • Aswini Kumar Mishra

    (Department of Economics and Finance, BITS Pilani KK Birla Goa Campus, Sancoale 403726, India)

Abstract

Evaluation of market connectedness and asymmetric volatility spillover has recently seen a surge in financial risk analytics and portfolio diversification. We carried out a meta-literature review on connectedness and spillovers, providing solid insight into the research field and robust guidelines for future investigation. The review consists of a quantitative bibliometric analysis of 594 papers and a qualitative content analysis of 77 papers covering 1991 to 2021. The results of the meta-citation analysis show that Diebold’s Spillover index (2007) is the predominant method in most works as far as market connectedness and spillover are concerned. With an extensive review, we achieved the following objectives: (1) Analyze the most influential authors, journals, and publications. (2) Understand the research streams and most studied streams. (3) Understand the theme’s structure, thematic evolution, and keyword trends. (4) Examine the pattern of collaboration and most productive affiliations. (5) Explore future research directions and untapped areas. The content analysis revealed the following important research streams in the current literature: (1) Asymmetries in market connectedness. (2) Influence of macro factors in market connectedness and spillover. (3) The role of oil in market spillovers and hedging portfolios. (4) Dynamic cross-market connectedness and spillovers. Our study is the first to employ a meta-review to assess the domain of market connectedness; thus, our work will significantly contribute to macroeconomic policymakers, researchers and hedging investors.

Suggested Citation

  • Kamesh Anand K & Aswini Kumar Mishra, 2023. "Market Connectedness and Volatility Spillovers: A Meta-Literature Review," Commodities, MDPI, vol. 2(3), pages 1-19, June.
    • Handle: RePEc:gam:jcommo:v:2:y:2023:i:3:p:13-219:d:1181102
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