Journal
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
Volume 48, Issue -, Pages 801-818Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.najef.2018.08.012
Keywords
Assets classes; Network connectedness; Portfolio management; Return spillover
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Funding
- Ministry of Education of the Republic of Korea
- National Research Foundation of Korea [NRF-2017S1A5A8019204]
- BB21 + Project in 2018
- Jan Wallander and Tom Hedelius Foundation
- National Research Foundation of Korea [2017S1A5A8019204] Funding Source: Korea Institute of Science & Technology Information (KISTI), National Science & Technology Information Service (NTIS)
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We extend the prior literature on market connectedness and spillover by quantifying the size of return connectedness across markets (assets). Applying the network spillover methodology, we perform both static and dynamic analyses to quantify the net spillover shock transmission from one market to another market (stock, bond, currency, and commodities) from December 1999 to June 2016. Thus, we measure the net pairwise spillover and assess the net directional connectedness for each market (asset class). Finally, our visual depiction of a network connectedness framework provides specific information on portfolio strategies for cross-border portfolio managers.
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