2019
DOI: 10.1016/j.frl.2019.04.022
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Abstract: This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short-and long-run connectedness significantly increased after the global financial crisis and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among developed markets. Frontier an… Show more

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Cited by 42 publications
(11 citation statements)
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“…This represents a crucial shortcoming in the related literature as the sole focus on mean-based connectedness masks potential differences in the patterns and strength of information transmission across the lower, middle, and upper quantiles of return distributions, representing stress, tranquil, and bullish periods, respectively. As indicated in related studies, market linkages are stronger during bearish states than normal or bullish states (e.g., Aloui et al 2020 ; Shahzad et al 2018 ; Baumöhl and Shahzad 2019 ; Saeed et al 2020 ). Accordingly, a tail-based connectedness analysis emerges as a suitable alternative approach given its ability to provide more comprehensive information on how return connectedness occurs among the US equity sector indices in extreme market conditions such as the COVID-19 outbreak period.…”
Section: Introductionmentioning
confidence: 82%
“…This represents a crucial shortcoming in the related literature as the sole focus on mean-based connectedness masks potential differences in the patterns and strength of information transmission across the lower, middle, and upper quantiles of return distributions, representing stress, tranquil, and bullish periods, respectively. As indicated in related studies, market linkages are stronger during bearish states than normal or bullish states (e.g., Aloui et al 2020 ; Shahzad et al 2018 ; Baumöhl and Shahzad 2019 ; Saeed et al 2020 ). Accordingly, a tail-based connectedness analysis emerges as a suitable alternative approach given its ability to provide more comprehensive information on how return connectedness occurs among the US equity sector indices in extreme market conditions such as the COVID-19 outbreak period.…”
Section: Introductionmentioning
confidence: 82%
“… 5 Investors exhibit different horizons due to the varying levels of their risk tolerance levels, investment objectives, different assimilation and absorption of information, and different institutional constraints ( Chakrabarty et al, 2015 ; Baumöhl and Shahzad, 2019 ; Maghyereh et al, 2018 , 2020 ). …”
mentioning
confidence: 99%
“… 9 The discussion and notation contained in this section followed Baruník and Kley (2019) ; Baumöhl and Shahzad (2019) ; and Balcilar et al (2016) . …”
mentioning
confidence: 99%
“…Studies based on this methodology lead to the conclusion that a statistically significant increase in the correlation between markets is an indicator of contagion (see, e.g., [1,10,31,32]). The GARCH model approach ( [33,34]), the DCC-GARCH model [35,36], the DCC-MGARCH model [11], the spillover index approach proposed by [37][38][39], the TVP-VAR approach [18], and the quantile crossspectral analysis proposed by [40,41] have also been applied to study the transmission of contagion from one market to another.…”
Section: Literature Reviewmentioning
confidence: 99%