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Quantile coherency networks of international stock markets

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  • Baumöhl, Eduard
  • Shahzad, Syed Jawad Hussain

Abstract

This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short- and long-run connectedness significantly increased after the global financial crisis and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among developed markets. Frontier and emerging markets are relatively less connected. These findings have implications for international equity market diversification and risk management.

Suggested Citation

  • Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:194568
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    References listed on IDEAS

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    More about this item

    Keywords

    quantile coherency; networks; stock markets; extreme negative returns; financial crisis;
    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
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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