MEASURING CONNECTEDNESS AND NETWORK ANALYSIS IN STOCK MARKETS FOR DEVELOPED AND DEVELOPING COUNTRIES

Yıl 2024, Sayı: 44, 189 – 206, 07.08.2024

Fatmanur Oral , İbrahim Özkan

https://doi.org/10.18092/ulikidince.1452554

Öz

Ülkeler arasındaki siyasi, ekonomik ve finansal entegrasyondaki artış uluslararası piyasa bağlantılarını etkilemektedir. Finansal krizler ülkeler arasında hızla yayılabilmektedir, bu nedenle hisse senedi piyasalarının birbirleriyle olan ilişkilerinin izlenmesi ve ölçülmesi önemlidir. Bu makale gelişmiş ve gelişmekte olan toplam 13 ülke için Ocak 1997’den Ağustos 2017’ye kadar günlük hisse senedi getirilerini kullanarak finansal piyasalardaki bağlantılılık derecesini araştırmaktadır. Diebold ve Yilmaz’ın (2009-2012) bağlantılılık ölçüsü, tüm hisse senedi piyasaları için borsa getirilerinin bağlantılılığını ve yayılmaların yönünü incelemek için uygulanmıştır. Buna ek olarak, çalışmada ABD hisse senedi piyasasının diğer tüm hisse senedi piyasalarıyla dinamik bağlantılılığı analiz edilmektedir. Sonuçlar, ABD hisse senedi piyasasının çeşitli bölgelerdeki diğer hisse senedi piyasalarını en çok etkileyen piyasa olduğunu göstermektedir. Dinamik analiz sonuçları, bağlantılılığın zaman içinde, özellikle de çalkantılı dönemlerde değiştiğini ortaya koymaktadır. Gelişmiş ülkelerin çoğu getiri yayılma şoklarının göndericisi konumundayken, gelişmekte olan ülkeler alıcısı konumundadır.

Anahtar Kelimeler

finansal bağlantılılık, yayılma endeksi, hisse senedi piyasaları, ağ analizi

Kaynakça

• Albulescu, C.T., Goyeau, D., and Tiwari A.K. (2015). Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-Frequency Approach. Procedia Economics and Finance, 20, 19-27.
• Alter, A., and Beyer, A. (2013). The Dynamics of Spillover Effects during the European Sovereign Debt Crisis. ECB Working Paper, No.1558.
• Attarzadeh A, and Balcilar M. (2022). On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets. Energies, 15(5),1893.
• Avouyi-Dovi, S., and Neto, D. (2004). Equity Market Interdependence: The Relationship between European and US Stock Markets. Banque de France, Financial Stability Review, 4, 108-126.
• Bagheri, E., Ebrahimi (2020). S.B. Estimating Network Connectedness of Financial Markets and Commodities. Journal of Systems Science and Systems Engineering., 29, 572–589.
• Bahloul, S., and Khemakhem, I. (2021). Dynamic Return and Volatility Connectedness between Commodities and Islamic Stock Market Indices. Resources Policy, 71, 101993.
• Bala, D.A., Takimoto, T. (2017). Stock Markets Volatility Spillovers during Financial Crises: A DCC-MGARCH with skewed-t density approach. Borsa Istanbul Review, 17(1), 25-48.
• Beirne, J., Caporale, G.M, Schulze-Ghattas, M., and Spagnolo, N. (2009). Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. European Central Bank Working Paper Series, 1113.
• Bekaert, G., and Harvey, C.R. (1995). Time-Varying World Market Integration. The Journal of Finance, 50(2), 403-444.
• Bonfiglioli, A., and Favero, C.A. (2005). Explaining Co-movements between Stock Markets: The Case of US and Germany. Journal of International Money and Finance, 24, 1299-1316.
• Bostancı, G., and Yilmaz, K. (2015). How Connected is the Global Sovereign Credit Risk Network?. Koc University-TUSIAD Economic Research Forum Working Paper Series, 1515.
• Calvo, S., Reinhart, C.M. (1996). “Capital Flows to Latin America: Is There Evidence of Contagion Effects” in G. G. Calvo (Ed.), Private Capital Flows to Emerging Markets, Institute for International Economics. Washington DC.
• Chen, S. and Wu, X. (2016). Comovements and Volatility Spillover in Commodity Markets. Agricultural & Applied Economics Association Annual Meeting, Boston, Massachusetts, No.235686.
• Cheung, L., Fung, L., and Tam, C. (2008). Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region, Hong Kong Monetary Author, Working Paper 18/2008.
• Chow, G.C., and Huang, S., Niu, L. (2013). Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia. WISE Working Paper, No. 002042.
• Christiansen, C., and Ranaldo, A. (2009). Extreme Coexceedances in New EU Member States’ Stock Markets. Journal of banking & finance, 33(6), 1048-1057.
• Corsetti, G., Pericoli, and M., Sbracia, M. (2005). Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion, Journal of International Money and Finance, 24, 1177-1199.
• Dajcman, S., Festic, M., and Kavkler, A. (2012). European Stock Market Comovement Dynamics during Some Major Financial Market Turmoils in the Period 1997-2010- A Comparative DDC-GARCH and Wavelet Correlation Analysis. Applied Economics Letters, 19(13), 1249-1256.
• Demirer, M., Diebold, F.X., Liu L., and Yılmaz, K. (2015). Estimating Global Bank Network Connectedness. Koc University-TUSIAD Economic Research Forum Working Paper Series, 1512.
• Diebold, F. X. and Yilmaz, K. (2009b). Equity Market Spillovers in the Americas. Journal Economia Chilena, 12(2), 55-65.
• Diebold, F. X. and Yilmaz, K. (2010). Better to Give than to Receive: Forecast-Based Measurement of Volatility Spillovers. International Journal of Forecasting, 28(1), 57-66.
• Diebold, F. X., and Yilmaz, K. (2009a). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. Economic Journal, 119, 158– 171.
• Diebold, F. X., and Yilmaz, K. (2011). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. NBER Working Paper, 17490.
• Diebold, F. X., and Yilmaz, K. (2015a). Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring, Oxford University Press, April 2015.
• Diebold, F. X., and Yilmaz, K. (2015b). Measuring the Dynamics of Global Business Cycle Connectedness. in S.J. Koopman and N. Shephard (eds.), Unobserved Components and Time Series Econometrics, Oxford University Press, 45-70.
• Diebold, F.X. and Yilmaz, K. (2016). Trans-Atlantic Equaity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014. Journal of Financial Econometrics, 14(1), 81-127.
• Dooley, M., and Hutchison, M. (2009). Transmission of the US Subprime Crisis to Emerging Markets: Evidence on the Decoupling–Recoupling Hypothesis. Journal of International Money and Finance, 28(8), 1331-1349.
• Edwards, S., and Susmel R. (2001). Volatility Dependence and Contagion Emerging Equity Markets, Journal of Development Economics, 66(2), 500-532.
• Erkol, N. (2015). Market Connectedness: Return vs. Volatility Spillovers (PhD Thesis). Universitat Aut`onoma de Barcelona, Spain.
• Forbes, K., and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuruing Stock Market Comovements, The Journal of Finance, 57(5), 2223-2261.
• Fratzscher, M., and Chudik, A. (2011). Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model, European Central Bank Working Paper Series, 1285.
• Ghosh, A., Saidi, R., and Johnson, K. H. (1999). Who Moves the Asia‐ Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration”, Financial review, 34(1): 159-169.
• Guimaraes-Filho, R. and Hong, H. (2016). Dynamic Connectedness of Asian Equity Markets. IMF Working Paper, WP/16/57.
• Hamao, Y., Masulis, R. W., and Ng, V. (1990). Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies, 3, 281-307.
• Horvath, R., and Poldauf, P. (2012). International stock market comovements: what happened during the financial crisis?. Global Economy Journal, 12(1), 1850252.
• Hwang, E., Min, H.-G., Kim, B.-H., and Kim, H. (2013). Determinants of Stock Market Comovements among US and Emerging Economies during the US Financial Crisis, Economic Modelling, 35, 338-348.
• Karolyi, G. A., and Stulz, R.M. (1996). Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements, Center on Japanese Economy and Business Columbia Business School Working Paper Series, No.112.
• Karolyi, G.A. (1995). Multivariate GARCH Model of International Transmission of Stock Returns and Volatility: The Case of United States and Canada, Journal of Business & Economic Statistics, 13(1), 11-25.
• Kazi, I. A., Wagan, H., and Akbar, F. (2011). Identifying Interdependency among Monetary Policy, Exchange Rates, Reits and Stock Markets during the Period of Global Financial Crisis in OECD Countries. Economics Bulletin, 31(3), 1-42.
• King, M., and Wadhwani, S. (1990). Transmission of Volatility between Stock Markets. The Review of Financial Studies, 3(1), 5-33.
• Klößner, S., and Wagner, S. (2014). Exploring All VAR Orderings for Calculating Spillovers? Yes, We Can!—A Note on Diebold and Yilmaz (2009). Journal of Applied Econometrics, 29(1), 172-179.
• Lahrech, A., and Sylwester, K. (2011). U.S. and Latin American Stock Market Linkages. Journal of International Money and Finance, 30, 1341-1357.
• Lee, G., and Jeong J. (2014). Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe. Review of European Studies, 6(1), 61-75.
• Lee, S., and Kim, K. (1993). Does the October 1987 Crash Strengthen the Co-Movements among National Stock Markets? Review of Financial Economics, 3, 89–102.
• Longin, F., and Solnik, B. (1995). Is The Correlation in International Equity Returns Constant: 1960-1990?. Journal of International Money and Finance, 14(1), 3-26.
• Lundgren, A. I., Milicevic, A., Uddin, G. S., and Kang, S. H. (2018). Connectedness Network and Dependence Structure Mechanism in Green İnvestments. Energy Economics, 72, 145-153.
• Maghyereh, A. I., Abdoh, H. and Awartani, B. (2019). Connectedness and Hedging between Gold and Islamic Securities: A new Evidence from Time-Frequency Domain Approaches. Pacific-Basin Finance Journal, 54, 13-28.
• Min, H-G., and Hwang, Y-S. (2012). Dynamic Correlation Analysis of US Financial Crisis and Contagion: Evidence from Four OECD Countries. Applied Financial Economics, 22, 2063–2074.
• Mukherjeea, K., and Mishrab, R.K. (2010). Stock market Integration and Volatility Spillover: India and Its Major Asian Counterparts. Research in International Business and Finance, 24, 235–251.
• Nguyen, V.H. (2015). Volatility Transmission between U.S. Sector ETFs: An Application of Diebold-Yilmaz Connectedness Framework (Master Thesis), Auckland University of Technology.
• Ozer-Imer, I., and Ozkan, I. (2014). An Empirical Analysis of Currency Volatilities during the Recent Global Financial Crisis. Economic Modeling, 43, 394-406.
• Padhi, P., and Lagesh, M.A. (2012). Volatility Spillover and Time-Varying Correlation among the Indian, Asian and US Stock Markets. Journal of Quantitative Economics, 10(2), 78-90.
• Pericoli, M., and Sbracia, M. (2003). A Primer on Financial Contagion. Journal of Economic Surveys, 17,571-608.
• Roll, R. (1989). Price Volatility, International Market Links, and Their Implications for Regulatory Policies. Journal of Financial Services Research, 3, 211-246.
• Schmidbauer, H., Roesch, A., and Uluceviz, E. (2013). Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy. Koc University-TUSIAD Economic Research Forum Working Paper Series, 1320.
• Solnik, B., Boucrelle, C., and Le Fur, Y. (1996). International Market Correlation and Volatility. Financial Analysts Journal, 52(5), 17-34.
• Sun, T., and Zhang, X. (2009). Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets. IMF Working Paper, 09 (166).
• Wilson, P., and Zurbruegg, R. (2004). Contagion or Interdependence? Evidence from Comovements in Asia-Pacific Securitised Real Estate Markets during the 1997 Crisis, Journal of Property Investment & Finance, 22(5), 401-413.
• Yoon, S. M., Al Mamun, M., Uddin, G. S., and Kang, S. H. (2019). Network Connectedness and Net Spillover between Financial and Commodity Markets. The North American Journal of Economics and Finance, 48, 801-818.
• Zhang, D. (2017). Oil shocks and stock markets revisited: Measuring Connectedness from A Global Perspective. Energy Economics, 62, 323-333.
• Zhou, X., Zhang, W., and Zhang, J. (2012). Volatility Spillovers between the Chinese and World Equity Markets. Pacific-Basin Finance Journal, 20(2), 247-270.

MEASURING CONNECTEDNESS AND NETWORK ANALYSIS IN STOCK MARKETS FOR DEVELOPED AND DEVELOPING COUNTRIES

Yıl 2024, Sayı: 44, 189 – 206, 07.08.2024

Fatmanur Oral , İbrahim Özkan

https://doi.org/10.18092/ulikidince.1452554

Öz

Countries are experiencing a surge in political, economic, and financial integration, consequently shaping international market linkages. Financial crises can rapidly spread between countries, emphasizing the need to monitor and assess stock market connections. This paper investigates the degree of financial market connectedness using daily stock returns from January 1997 to August 2017 for 13 countries, both developed and developing. The connectedness measure of Diebold and Yilmaz (2009-2012) is applied to examine the connectedness of stock market returns and the direction of spillovers for all stock markets. This study also analyzes the dynamic connectedness from the U.S. stock market to all other stock markets. The results indicate that the U.S. stock market is the most influential stock market to the others. The results of the dynamic analysis show that connectedness changes over time, specifically during turmoil periods. Most developed countries are transmitters of return spillover shocks while developing countries are recipients.

Anahtar Kelimeler

financial connectedness, spillover index, stock markets, network analysis

Kaynakça

• Albulescu, C.T., Goyeau, D., and Tiwari A.K. (2015). Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-Frequency Approach. Procedia Economics and Finance, 20, 19-27.
• Alter, A., and Beyer, A. (2013). The Dynamics of Spillover Effects during the European Sovereign Debt Crisis. ECB Working Paper, No.1558.
• Attarzadeh A, and Balcilar M. (2022). On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets. Energies, 15(5),1893.
• Avouyi-Dovi, S., and Neto, D. (2004). Equity Market Interdependence: The Relationship between European and US Stock Markets. Banque de France, Financial Stability Review, 4, 108-126.
• Bagheri, E., Ebrahimi (2020). S.B. Estimating Network Connectedness of Financial Markets and Commodities. Journal of Systems Science and Systems Engineering., 29, 572–589.
• Bahloul, S., and Khemakhem, I. (2021). Dynamic Return and Volatility Connectedness between Commodities and Islamic Stock Market Indices. Resources Policy, 71, 101993.
• Bala, D.A., Takimoto, T. (2017). Stock Markets Volatility Spillovers during Financial Crises: A DCC-MGARCH with skewed-t density approach. Borsa Istanbul Review, 17(1), 25-48.
• Beirne, J., Caporale, G.M, Schulze-Ghattas, M., and Spagnolo, N. (2009). Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. European Central Bank Working Paper Series, 1113.
• Bekaert, G., and Harvey, C.R. (1995). Time-Varying World Market Integration. The Journal of Finance, 50(2), 403-444.
• Bonfiglioli, A., and Favero, C.A. (2005). Explaining Co-movements between Stock Markets: The Case of US and Germany. Journal of International Money and Finance, 24, 1299-1316.
• Bostancı, G., and Yilmaz, K. (2015). How Connected is the Global Sovereign Credit Risk Network?. Koc University-TUSIAD Economic Research Forum Working Paper Series, 1515.
• Calvo, S., Reinhart, C.M. (1996). “Capital Flows to Latin America: Is There Evidence of Contagion Effects” in G. G. Calvo (Ed.), Private Capital Flows to Emerging Markets, Institute for International Economics. Washington DC.
• Chen, S. and Wu, X. (2016). Comovements and Volatility Spillover in Commodity Markets. Agricultural & Applied Economics Association Annual Meeting, Boston, Massachusetts, No.235686.
• Cheung, L., Fung, L., and Tam, C. (2008). Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region, Hong Kong Monetary Author, Working Paper 18/2008.
• Chow, G.C., and Huang, S., Niu, L. (2013). Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia. WISE Working Paper, No. 002042.
• Christiansen, C., and Ranaldo, A. (2009). Extreme Coexceedances in New EU Member States’ Stock Markets. Journal of banking & finance, 33(6), 1048-1057.
• Corsetti, G., Pericoli, and M., Sbracia, M. (2005). Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion, Journal of International Money and Finance, 24, 1177-1199.
• Dajcman, S., Festic, M., and Kavkler, A. (2012). European Stock Market Comovement Dynamics during Some Major Financial Market Turmoils in the Period 1997-2010- A Comparative DDC-GARCH and Wavelet Correlation Analysis. Applied Economics Letters, 19(13), 1249-1256.
• Demirer, M., Diebold, F.X., Liu L., and Yılmaz, K. (2015). Estimating Global Bank Network Connectedness. Koc University-TUSIAD Economic Research Forum Working Paper Series, 1512.
• Diebold, F. X. and Yilmaz, K. (2009b). Equity Market Spillovers in the Americas. Journal Economia Chilena, 12(2), 55-65.
• Diebold, F. X. and Yilmaz, K. (2010). Better to Give than to Receive: Forecast-Based Measurement of Volatility Spillovers. International Journal of Forecasting, 28(1), 57-66.
• Diebold, F. X., and Yilmaz, K. (2009a). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. Economic Journal, 119, 158– 171.
• Diebold, F. X., and Yilmaz, K. (2011). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. NBER Working Paper, 17490.
• Diebold, F. X., and Yilmaz, K. (2015a). Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring, Oxford University Press, April 2015.
• Diebold, F. X., and Yilmaz, K. (2015b). Measuring the Dynamics of Global Business Cycle Connectedness. in S.J. Koopman and N. Shephard (eds.), Unobserved Components and Time Series Econometrics, Oxford University Press, 45-70.
• Diebold, F.X. and Yilmaz, K. (2016). Trans-Atlantic Equaity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014. Journal of Financial Econometrics, 14(1), 81-127.
• Dooley, M., and Hutchison, M. (2009). Transmission of the US Subprime Crisis to Emerging Markets: Evidence on the Decoupling–Recoupling Hypothesis. Journal of International Money and Finance, 28(8), 1331-1349.
• Edwards, S., and Susmel R. (2001). Volatility Dependence and Contagion Emerging Equity Markets, Journal of Development Economics, 66(2), 500-532.
• Erkol, N. (2015). Market Connectedness: Return vs. Volatility Spillovers (PhD Thesis). Universitat Aut`onoma de Barcelona, Spain.
• Forbes, K., and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuruing Stock Market Comovements, The Journal of Finance, 57(5), 2223-2261.
• Fratzscher, M., and Chudik, A. (2011). Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model, European Central Bank Working Paper Series, 1285.
• Ghosh, A., Saidi, R., and Johnson, K. H. (1999). Who Moves the Asia‐ Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration”, Financial review, 34(1): 159-169.
• Guimaraes-Filho, R. and Hong, H. (2016). Dynamic Connectedness of Asian Equity Markets. IMF Working Paper, WP/16/57.
• Hamao, Y., Masulis, R. W., and Ng, V. (1990). Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies, 3, 281-307.
• Horvath, R., and Poldauf, P. (2012). International stock market comovements: what happened during the financial crisis?. Global Economy Journal, 12(1), 1850252.
• Hwang, E., Min, H.-G., Kim, B.-H., and Kim, H. (2013). Determinants of Stock Market Comovements among US and Emerging Economies during the US Financial Crisis, Economic Modelling, 35, 338-348.
• Karolyi, G. A., and Stulz, R.M. (1996). Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements, Center on Japanese Economy and Business Columbia Business School Working Paper Series, No.112.
• Karolyi, G.A. (1995). Multivariate GARCH Model of International Transmission of Stock Returns and Volatility: The Case of United States and Canada, Journal of Business & Economic Statistics, 13(1), 11-25.
• Kazi, I. A., Wagan, H., and Akbar, F. (2011). Identifying Interdependency among Monetary Policy, Exchange Rates, Reits and Stock Markets during the Period of Global Financial Crisis in OECD Countries. Economics Bulletin, 31(3), 1-42.
• King, M., and Wadhwani, S. (1990). Transmission of Volatility between Stock Markets. The Review of Financial Studies, 3(1), 5-33.
• Klößner, S., and Wagner, S. (2014). Exploring All VAR Orderings for Calculating Spillovers? Yes, We Can!—A Note on Diebold and Yilmaz (2009). Journal of Applied Econometrics, 29(1), 172-179.
• Lahrech, A., and Sylwester, K. (2011). U.S. and Latin American Stock Market Linkages. Journal of International Money and Finance, 30, 1341-1357.
• Lee, G., and Jeong J. (2014). Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe. Review of European Studies, 6(1), 61-75.
• Lee, S., and Kim, K. (1993). Does the October 1987 Crash Strengthen the Co-Movements among National Stock Markets? Review of Financial Economics, 3, 89–102.
• Longin, F., and Solnik, B. (1995). Is The Correlation in International Equity Returns Constant: 1960-1990?. Journal of International Money and Finance, 14(1), 3-26.
• Lundgren, A. I., Milicevic, A., Uddin, G. S., and Kang, S. H. (2018). Connectedness Network and Dependence Structure Mechanism in Green İnvestments. Energy Economics, 72, 145-153.
• Maghyereh, A. I., Abdoh, H. and Awartani, B. (2019). Connectedness and Hedging between Gold and Islamic Securities: A new Evidence from Time-Frequency Domain Approaches. Pacific-Basin Finance Journal, 54, 13-28.
• Min, H-G., and Hwang, Y-S. (2012). Dynamic Correlation Analysis of US Financial Crisis and Contagion: Evidence from Four OECD Countries. Applied Financial Economics, 22, 2063–2074.
• Mukherjeea, K., and Mishrab, R.K. (2010). Stock market Integration and Volatility Spillover: India and Its Major Asian Counterparts. Research in International Business and Finance, 24, 235–251.
• Nguyen, V.H. (2015). Volatility Transmission between U.S. Sector ETFs: An Application of Diebold-Yilmaz Connectedness Framework (Master Thesis), Auckland University of Technology.
• Ozer-Imer, I., and Ozkan, I. (2014). An Empirical Analysis of Currency Volatilities during the Recent Global Financial Crisis. Economic Modeling, 43, 394-406.
• Padhi, P., and Lagesh, M.A. (2012). Volatility Spillover and Time-Varying Correlation among the Indian, Asian and US Stock Markets. Journal of Quantitative Economics, 10(2), 78-90.
• Pericoli, M., and Sbracia, M. (2003). A Primer on Financial Contagion. Journal of Economic Surveys, 17,571-608.
• Roll, R. (1989). Price Volatility, International Market Links, and Their Implications for Regulatory Policies. Journal of Financial Services Research, 3, 211-246.
• Schmidbauer, H., Roesch, A., and Uluceviz, E. (2013). Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy. Koc University-TUSIAD Economic Research Forum Working Paper Series, 1320.
• Solnik, B., Boucrelle, C., and Le Fur, Y. (1996). International Market Correlation and Volatility. Financial Analysts Journal, 52(5), 17-34.
• Sun, T., and Zhang, X. (2009). Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets. IMF Working Paper, 09 (166).
• Wilson, P., and Zurbruegg, R. (2004). Contagion or Interdependence? Evidence from Comovements in Asia-Pacific Securitised Real Estate Markets during the 1997 Crisis, Journal of Property Investment & Finance, 22(5), 401-413.
• Yoon, S. M., Al Mamun, M., Uddin, G. S., and Kang, S. H. (2019). Network Connectedness and Net Spillover between Financial and Commodity Markets. The North American Journal of Economics and Finance, 48, 801-818.
• Zhang, D. (2017). Oil shocks and stock markets revisited: Measuring Connectedness from A Global Perspective. Energy Economics, 62, 323-333.
• Zhou, X., Zhang, W., and Zhang, J. (2012). Volatility Spillovers between the Chinese and World Equity Markets. Pacific-Basin Finance Journal, 20(2), 247-270.

Toplam 61 adet kaynakça vardır.

Ayrıntılar

Kaynak Göster

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