Dynamic connectedness among regional FinTech indices in times of turbulences

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.

KEYWORDS:

• FinTech
• Russia’s invasion of Ukraine
• directional spillover
• time and frequency domain
• dynamic connectedness network

JEL CLASSIFICATION:

• C58
• F51
• G15

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. 2022).