Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness
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Tarih
2025
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Mdpi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study aims to reveal the network connectedness between the volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with the frequency-based TVP-VAR connectedness approach. Connectedness results were obtained in short (1-5 days) and long (5-inf) period frequencies among the volatilities obtained with the Garman-Klass volatility estimator. According to the dynamic TCI results, connectivity peaked during the COVID-19 and Russia-Ukraine War periods. BVSP is the most dominant transmitter of the network and spreads the most effect to the emerging markets. As a result of the pairwise metrics, SSE has the lowest values and is positioned as a relatively independent market in the network. In particular, SSE has almost no connection with BIST in the short term, while it has a more significant effect on BIST in the long term. Moreover, the connectedness metrics show that MOEX is in a neutral position in the network and is largely affected by its internal dynamics.
Açıklama
Anahtar Kelimeler
EAGLEs countries, frequency connectedness, pairwise connectedness, portfolio diversification, TVP-VAR, 70-10, 76-10
Kaynak
Mathematics
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
13
Sayı
8
