International trade network and stock market connectedness: Evidence from eleven major economies

You, Kefei; Raju Chinthalapati, V.L.; Mishra, Tapas; Patra, Ramakanta

doi:10.1016/j.intfin.2024.101939

Cited by 4 publications

(1 citation statement)

References 82 publications

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“…In terms of spillovers between the carbon market and the energy market, (You et al, 2024). In contrast, to overcome these shortcomings, the widely adopted TVP-VAR model with DY or BK methods in our paper excels in analyzing time-varying connectedness in both time and frequency domains (Guo et al, 2023;Jiang et al, 2023;Meng et al, 2023).…”

Section: Literature Reviewmentioning

confidence: 99%

Sustainability and Stability: Asymmetric Time–Frequency Connectedness and Risk Spillovers Among EU–China ETSs, Clean Energy, Precious Metals, and Green Bonds

Yu,

Chen,

2024

Preprint

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Emission trading schemes (ETSs) have become vital tools in striving toward global emission reduction objectives and promoting a sustainable economy. This paper empirically investigates the impact of market conditions on interconnectedness within precious metals, clean energy, green bonds, and carbon markets, focusing on China and the EU ETSs as the study subjects. A TVP-VAR-based asymmetric connectedness approach is adopted to capture the evolving relationships between the variables of interest in the time–frequency domain. The empirical findings reveal that: First, time-varying asymmetric connectedness and spillover effects among clean energy, precious metals, green bonds, and carbon markets are identified in both time and frequency domains under diverse market conditions, with long-term connectedness asymmetry being particularly sensitive, although spillovers exhibit variations. Second, the role and intensity of net transmitters or receivers vary across market conditions and frequency domains, indicating the complex and nuanced nature of market interactions. The EU ETS demonstrates a higher level of connectivity with global markets for clean energy, precious metals, and green bonds when compared to the Chinese ETS. However, it also shows greater susceptibility to fluctuations in market conditions. These results have significant implications for both investors striving to build sustainable diversified portfolios and regulators endeavoring to craft effective policies for risk regulation and sustainable development.

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Section: Literature Reviewmentioning

confidence: 99%

Sustainability and Stability: Asymmetric Time–Frequency Connectedness and Risk Spillovers Among EU–China ETSs, Clean Energy, Precious Metals, and Green Bonds

Yu,

Chen,

2024

Preprint

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Time-frequency cross-country spillovers of climate policy uncertainty: Does it matter for financial risk?

Zhang,

Chen

2024

Energy

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Unraveling stock exchange connections: an empirical study of India, US, Hong Kong, Germany, France and Amsterdam

Kushwah,

Goel,

Shah

2024

JEAS

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PurposeThe current study immerses itself in the realm of diversification prospects within a select group of preeminent global stock exchanges. Specifically, the study casts its discerning gaze upon the financial hubs of the United States, Hong Kong, Germany, France, Amsterdam and India. In this expansive vista of international financial markets, the present analytical study aims to unravel the multifaceted opportunities that lie therein for astute portfolio management and strategic investment decisions.Design/methodology/approachThe study encompasses daily time series data spanning from 2019 to 2022. To assess the interconnectedness among these stock indices, advanced statistical techniques, including Johansen cointegration methods and vector autoregressive (VAR) models, have been applied.FindingsThe research outcomes reveal both unidirectional and bidirectional relationships between the Indian, Hong Kong and US stock exchanges, encompassing both short-term and long-term time frames. Interestingly, the empirical findings indicate the presence of diversification opportunities between the Indian stock exchange and the stock exchanges of Germany, France and Amsterdam.Research limitations/implicationsThese insights hold significant value for both Indian and international investors, including foreign institutional investors (FIIs), domestic institutional investors (DIIs) and retail investors, as they can utilize this knowledge to construct more effective and diversified investment portfolios by understanding the intricate interconnections between these prominent global stock exchanges.Originality/valueThis research undertaking aspires to bring coherence to a landscape rife with divergent interpretations and methodological divergences. We are poised to offer a comprehensive analysis, a beacon of clarity amidst the murkiness, to shed light on the intricate web of interconnections that underpin the world's stock exchanges. In so doing, we seek to contribute a seminal piece of scholarship that transcends the existing ambiguities and thus empowers the field with a deeper understanding of the multifaceted dynamics governing international stock markets.

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International trade network and stock market connectedness: Evidence from eleven major economies

Cited by 4 publications

References 82 publications

Sustainability and Stability: Asymmetric Time–Frequency Connectedness and Risk Spillovers Among EU–China ETSs, Clean Energy, Precious Metals, and Green Bonds

Sustainability and Stability: Asymmetric Time–Frequency Connectedness and Risk Spillovers Among EU–China ETSs, Clean Energy, Precious Metals, and Green Bonds

Time-frequency cross-country spillovers of climate policy uncertainty: Does it matter for financial risk?

Unraveling stock exchange connections: an empirical study of India, US, Hong Kong, Germany, France and Amsterdam

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