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A Bibliometric Review of Volatility Spillovers in Financial Markets: Knowledge Bases and Research Fronts

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  • Jun Chen
  • Lingling Yang

Abstract

This paper uses the bibliometric method of knowledge mapping analysis to clearly present the knowledge base and research fronts of cross-market volatility spillovers. The results provide strong evidence that, first, the general theme of volatility spillovers can be divided into a variety of research topics, four of which are on the dynamics of volatility spillovers in world financial markets of various types based on multivariate GARCH or VAR models and construct a crucial knowledge base for this field; second, three research fronts can be identified using burst analysis, and they focus on examining spillover directions and magnitudes, testing volatility spillovers related to oil markets and international risk transmission mechanism of emerging markets; and, third, the major contributing scholars come from institutions in the United States,China and European economies. Our conclusions offer some recommendations for market practitioners in their risk management and policy-making.

Suggested Citation

  • Jun Chen & Lingling Yang, 2021. "A Bibliometric Review of Volatility Spillovers in Financial Markets: Knowledge Bases and Research Fronts," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(5), pages 1358-1379, April.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:5:p:1358-1379
    DOI: 10.1080/1540496X.2019.1695119
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    Cited by:

    1. Fei Su & Lili Zhai & Yunyan Zhou & Zixi Zhuang & Feifan Wang, 2024. "Risk contagion in financial markets: A systematic review using bibliometric methods," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 163-199, March.
    2. Khan, Ashraf & Goodell, John W. & Hassan, M. Kabir & Paltrinieri, Andrea, 2022. "A bibliometric review of finance bibliometric papers," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Xuefeng Wang & Shuo Zhang & Yuqin liu, 2022. "ITGInsight–discovering and visualizing research fronts in the scientific literature," Scientometrics, Springer;Akadémiai Kiadó, vol. 127(11), pages 6509-6531, November.
    4. Ana Alzate-Ortega & Natalia Garzón & Jesús Molina-Muñoz, 2024. "Volatility Spillovers in Emerging Markets: Oil Shocks, Energy, Stocks, and Gold," Energies, MDPI, vol. 17(2), pages 1-19, January.

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