Dynamic volatility spillover and network connectedness across ASX sector markets

This study measures dynamic volatility spillovers and identifies the connectedness network across 11 Australian Securities Exchange (ASX) sector indices using the spillover index methodology of Diebold and Yilmaz (J Econ 182:119–134, 2014). Additionally, we visualize volatility connectedness relatio...

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Bibliographic Details
Published in:Journal of economics and finance 2021-10, Vol.45 (4), p.677-691
Main Authors: Choi, Ki-Hong, McIver, Ron P., Ferraro, Salvatore, Xu, Lei, Kang, Sang Hoon
Format: Article
Language:English
Subjects:
Causality
Economic crisis
Economics
Economics and Finance
Finance
Financial institutions
Financial services
Institutional investments
International finance
Macroeconomics/Monetary Economics//Financial Economics
Methods
Principal components analysis
Securities markets
Stock exchanges
Volatility
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Summary:This study measures dynamic volatility spillovers and identifies the connectedness network across 11 Australian Securities Exchange (ASX) sector indices using the spillover index methodology of Diebold and Yilmaz (J Econ 182:119–134, 2014). Additionally, we visualize volatility connectedness relationships as links within a complex network to capture the propagation path of volatility connectedness across the 11 ASX sectors. Our results indicate that recent financial crises intensified the degree of volatility connectedness across the 11 ASX sectors, supporting the contagion hypothesis. Importantly, the financial sector is the main transmitter of volatility connectedness across the 11 ASX sector markets.
ISSN:1055-0925
1938-9744
DOI:10.1007/s12197-021-09544-w