RT Journal Article
T1 Volatility transmission between stock and foreign exchange markets: A connectedness analysis
A1 Fernández-Rodríguez, Fernando
A1 Sosvilla Rivero, Simón Javier
AB This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. 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 Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behavior of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.
PB Taylor & Francis
SN 1466-4283
YR 2020
FD 2020
LK https://hdl.handle.net/20.500.14352/6150
UL https://hdl.handle.net/20.500.14352/6150
LA eng
NO Ministerio de Economía y Competitividad (MINECO)
NO Banco de España
NO Ministerio de Educación, Cultura y Deporte (MECD)
NO Universidad de Las Palmas de Gran Canaria
DS Docta Complutense
RD 11 abr 2025