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Dynamic volatility spillover and network connectedness across ASX sector markets

Author

Listed:
  • Ki-Hong Choi

    (Pusan National University)

  • Ron P. McIver

    (University of South Australia)

  • Salvatore Ferraro

    (Global Founders Funds Management)

  • Lei Xu

    (University of South Australia)

  • Sang Hoon Kang

    (Pusan National University)

Abstract

This study measures dynamic volatility spillovers and identifies the connectedness network across 11 Australian Securities Exchange (ASX) sector indices using the spillover index methodology of Diebold and Yilmaz (J Econ 182:119–134, 2014). Additionally, we visualize volatility connectedness relationships as links within a complex network to capture the propagation path of volatility connectedness across the 11 ASX sectors. Our results indicate that recent financial crises intensified the degree of volatility connectedness across the 11 ASX sectors, supporting the contagion hypothesis. Importantly, the financial sector is the main transmitter of volatility connectedness across the 11 ASX sector markets.

Suggested Citation

  • Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.
    • Handle: RePEc:spr:jecfin:v:45:y:2021:i:4:d:10.1007_s12197-021-09544-w
    DOI: 10.1007/s12197-021-09544-w
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    3. Umar, Zaghum & Hadhri, Sinda & Abakah, Emmanuel Joel Aikins & Usman, Muhammad & Umar, Muhammad, 2024. "Return and volatility spillovers among oil price shocks and international green bond markets," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. shah, Adil Ahmad & Bhanja, Niyati & Dar, Arif Billah, 2023. "Do gold and the US dollar diversify global sectoral risk? Evidence from connectedness and dynamic conditional correlation measures," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    5. Zhuhua Jiang & Rim El Khoury & Muneer M. Alshater & Seong‐Min Yoon, 2024. "Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet‐based analysis," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 78-105, March.
    6. Alomari, Mohammed & Selmi, Refk & Mensi, Walid & Ko, Hee-Un & Kang, Sang Hoon, 2024. "Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 210-228.
    7. Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain & Sadorsky, Perry & Uddin, Gazi Salah & Bouri, Elie & Kang, Sang Hoon, 2022. "Regime specific spillovers across US sectors and the role of oil price volatility," Energy Economics, Elsevier, vol. 107(C).
    8. Nguyen, An Pham Ngoc & Mai, Tai Tan & Bezbradica, Marija & Crane, Martin, 2023. "Volatility and returns connectedness in cryptocurrency markets: Insights from graph-based methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).
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    More about this item

    Keywords

    Dynamic volatility spillovers; Financial crisis; Connectedness network; Sector indices;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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