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Contagion or interdependence? Comparing spillover indices
We propose a novel risk measure that is built on comparing high-frequency time-varying volatility and low-frequency return spillover estimates. This measure permits to identify the markets that are epidemic in their complex interdependence. We conjecture that initially a highly volatile market exper...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8637031/ https://www.ncbi.nlm.nih.gov/pubmed/34873364 http://dx.doi.org/10.1007/s00181-021-02169-2 |
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author | Islam, Raisul Volkov, Vladimir |
author_facet | Islam, Raisul Volkov, Vladimir |
author_sort | Islam, Raisul |
collection | PubMed |
description | We propose a novel risk measure that is built on comparing high-frequency time-varying volatility and low-frequency return spillover estimates. This measure permits to identify the markets that are epidemic in their complex interdependence. We conjecture that initially a highly volatile market experiences episodes of risk transmission, but only later absorbs risk and becomes an epidemic market. Moreover, we can detect newly emerging ‘contagion’ in the system. We examine the behaviour of 30 global equity markets and compare spillover measures, which encapsulate many large and small crises episodes. Instead of relying on ex post crisis information, our model identifies crises periods. An important implication of the proposed approach is that highly interrelated markets, such as China, are less likely to transmit a global economic crisis under the current interdependence setting. |
format | Online Article Text |
id | pubmed-8637031 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Springer Berlin Heidelberg |
record_format | MEDLINE/PubMed |
spelling | pubmed-86370312021-12-02 Contagion or interdependence? Comparing spillover indices Islam, Raisul Volkov, Vladimir Empir Econ Article We propose a novel risk measure that is built on comparing high-frequency time-varying volatility and low-frequency return spillover estimates. This measure permits to identify the markets that are epidemic in their complex interdependence. We conjecture that initially a highly volatile market experiences episodes of risk transmission, but only later absorbs risk and becomes an epidemic market. Moreover, we can detect newly emerging ‘contagion’ in the system. We examine the behaviour of 30 global equity markets and compare spillover measures, which encapsulate many large and small crises episodes. Instead of relying on ex post crisis information, our model identifies crises periods. An important implication of the proposed approach is that highly interrelated markets, such as China, are less likely to transmit a global economic crisis under the current interdependence setting. Springer Berlin Heidelberg 2021-12-02 2022 /pmc/articles/PMC8637031/ /pubmed/34873364 http://dx.doi.org/10.1007/s00181-021-02169-2 Text en © Crown 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic. |
spellingShingle | Article Islam, Raisul Volkov, Vladimir Contagion or interdependence? Comparing spillover indices |
title | Contagion or interdependence? Comparing spillover indices |
title_full | Contagion or interdependence? Comparing spillover indices |
title_fullStr | Contagion or interdependence? Comparing spillover indices |
title_full_unstemmed | Contagion or interdependence? Comparing spillover indices |
title_short | Contagion or interdependence? Comparing spillover indices |
title_sort | contagion or interdependence? comparing spillover indices |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8637031/ https://www.ncbi.nlm.nih.gov/pubmed/34873364 http://dx.doi.org/10.1007/s00181-021-02169-2 |
work_keys_str_mv | AT islamraisul contagionorinterdependencecomparingspilloverindices AT volkovvladimir contagionorinterdependencecomparingspilloverindices |