https://orcid.org/0000-0001-6876-3301
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ABSTRACT
This study examines the connectedness among several regional FinTech indices and analyses the impact of Russia’s invasion of Ukraine on the dynamic spillovers. We employ the time-varying parameter vector autoregression and time-frequency connectedness network approach using data spanning from 2 September 2021 until 4 April 2022. We find that the returns and volatility spillovers among FinTech indices burst with the outbreak of the invasion. During this invasion, Asia-Pacific and Japan FinTech appeared to be the largest recipients of the spillovers. In contrast, Europe and North America FinTech appeared to be the largest transmitters of spillovers. The short-term effect among regional FinTech indices is stronger than the long-term relationship.
Acknowledgments
The last author is grateful for financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2020S1A5B8103268).
Disclosure statement
No potential conflict of interest was reported by the author(s).
Supplementary material
Supplemental data for this article can be accessed online at https://doi.org/10.1080/13504851.2022.2141443.
Notes
1 The 10-day rolling historical volatility has been extensively used for two reasons. First, it is a measure of past performance and a statistical measure of the dispersion of returns. Second, it allows for a more long-term interpretation of risk (Umar et al. Citation2022).