Andrada-Félix, JuliánFernandez-Perez, AdrianSosvilla Rivero, Simón Javier2023-06-172023-06-1720181466-428310.1080/00036846.2018.1441521https://hdl.handle.net/20.500.14352/12294The 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.engjournal articlehttps://doi.org/10.1080/00036846.2018.1441521open accessC53E44F31G15Implied volatility indicesfinancial market linkagesconnectednessVARVariance decomposition.Econometría (Economía)Economía internacionalMacroeconomíaMercados bursátiles y financieros5302 Econometría5310 Economía Internacional5307.14 Teoría Macroeconómica