RT Journal Article
T1 Fear connectedness among asset classes
A1 Andrada-Félix, Julián
A1 Fernandez-Perez, Adrian
A1 Sosvilla Rivero, Simón Javier
AB This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 August 2008–29 December 2017. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz. Second, we make use of a dynamic analysis to evaluate both the net directional connectedness for each market and all net pairwise directional connectedness. Our results suggest that a 38.99%, of the total variance of the forecast errors is explained by shocks across markets, indicating that the remainder 61.01% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. Finally, we also document frequently switch between a net volatility transmitter and a net volatility receiver role in the five markets under study.
PB Taylor & Francis
SN 1466-4283
YR 2018
FD 2018
LK https://hdl.handle.net/20.500.14352/12294
UL https://hdl.handle.net/20.500.14352/12294
LA eng
NO The authors wish to thank two anonymous referees and the editor for their helpful comments and suggestions on a previous draft of this article, which have enabled us to introduce substantial improvements. Julián Andrada-Félix gratefully acknowledges warm hospitality and financial support of the Department of Finance at the Auckland University of Technology during his research visit. Simón Sosvilla-Rivero thanks the members of the Department of Economics at the University of Bath for theirwarm hospitality during his research visit.
NO Ministerio de Economía y Competitividad (MINECO)
NO Auckland University of Technology
NO Banco de España
NO Ministerio de Educación, Cultura y Deportes (MECD)
DS Docta Complutense
RD 7 abr 2025