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Cogent Economics & Finance Volume 10, 2022 - Issue 1
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FINANCIAL ECONOMICS

Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities

Gilbert K. Amoako1 Department of Accountancy and Accounting Information System, Kumasi Technical University, Kumasi, GhanaView further author information
,
Ebenezer Boateng2 Department of Finance, University of Cape Coast, Cape Coast, GhanaView further author information
,
Emmanuel Asafo-Adjei2 Department of Finance, University of Cape Coast, Cape Coast, GhanaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-4449-6285View further author information
ORCID Icon,
Daniel Kofi Amoanyi3 Finance Directorate, Kumasi Technical University, Kumasi, GhanaView further author information
&
Anokye Mohammed Adam2 Department of Finance, University of Cape Coast, Cape Coast, GhanaView further author information
Article: 2148366 | Received 07 Sep 2022, Accepted 11 Nov 2022, Published online: 05 Dec 2022

Figures & data

Table 1. Implied volatilities

Figure 1. Price and returns series of volatility indices.

Figure 1. Price and returns series of volatility indices.

Figure 1. (Continued).

Figure 1. (Continued).

Table 2. Descriptive tests

Table 3. Average total connectedness

Figure 2. Dynamic total connectedness of volatility indices.

Figure 2. Dynamic total connectedness of volatility indices.

Figure 3. Directional connectedness of volatility returns to others.

Figure 3. Directional connectedness of volatility returns to others.

Figure 4. Directional connectedness of volatility returns from others.

Figure 4. Directional connectedness of volatility returns from others.

Figure 5. Net directional connectedness among volatility returns.

Positive net values represent net transmitters whereas negative net values show net receivers.
Figure 5. Net directional connectedness among volatility returns.

Data availability statement

Data used in support of this study is available upon request.

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