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oai:docta.ucm.es:20.500.14352/122942025-06-05T14:12:18Zcom_20.500.14352_14col_20.500.14352_15

Fear connectedness among asset classes Andrada-Félix, Julián Fernández-Pérez, Adrian Sosvilla Rivero, Simón Javier C53 E44 F31 G15 Implied volatility indices financial market linkages connectedness VAR Variance decomposition. Econometría (Economía) Economía internacional Macroeconomía Mercados bursátiles y financieros 5302 Econometría 5310 Economía Internacional 5307.14 Teoría Macroeconómica 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 their warm hospitality during his research visit. 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. Ministerio de Economía y Competitividad (MINECO) Auckland University of Technology Banco de España Ministerio de Educación, Cultura y Deportes (MECD) Depto. de Análisis Económico y Economía Cuantitativa Fac. de Ciencias Económicas y Empresariales TRUE pub 2023-06-17T12:29:54Z 2023-06-17T12:29:54Z 2018 journal article https://hdl.handle.net/20.500.14352/12294 1466-4283 10.1080/00036846.2018.1441521 eng (ECO2016-76203-C2-2-P) (VRF2016-12) (PR71/15-20229) (PRX16/00261) open access application/pdf Taylor & Francis