Stock Market Volatility Spillovers in G7 and BRIC

References

• Aloui, R., M. S. B. Aïssa, and D. K. Nguyen. 2011. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? Journal of Banking and Finance 35 (1):130–41. doi:10.1016/j.jbankfin.2010.07.021.
   Web of Science ®Google Scholar
• Basak, S., and A. Pavlova. 2016. A model of financialization of commodities: A model of financialization of commodities. Journal of Finance 71 (4):1511–56. doi:10.1111/jofi.12408.
   Web of Science ®Google Scholar
• Bessler, D. A., and J. Yang. 2003. The structure of interdependence in international stock markets. Journal of International Money and Finance 22 (2):261–87. doi:10.1016/S0261-5606(02)00076-1.
   Web of Science ®Google Scholar
• Devpura, N., and P. K. Narayan. 2020. Hourly oil price volatility: The role of COVID-19. Energy Research Letters 1 (2):13683.
   Google Scholar
• Diebold, F. X., and K. Yilmaz. 2009. Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal 119 (534):158–71. doi:10.1111/j.1468-0297.2008.02208.x.
   Web of Science ®Google Scholar
• Diebold, F. X., and K. Yilmaz. 2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting 28 (1):57–66. doi:10.1016/j.ijforecast.2011.02.006.
   Web of Science ®Google Scholar
• Diebold, F. X., and K. Yilmaz. 2014. On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics 182 (1):119–34. doi:10.1016/j.jeconom.2014.04.012.
   Web of Science ®Google Scholar
• Fang, C.-R., and S.-Y. You. 2014. The impact of oil price shocks on the large emerging countries’ stock prices: Evidence from China, India and Russia. International Review of Economics & Finance 29 (29):330–38. doi:10.1016/j.iref.2013.06.005.
   Google Scholar
• Gamba-Santamaria, S., J. E. Gomez-Gonzalez, J. L. Hurtado-Guarin, and L. F. Melo-Velandia. 2017. Stock market volatility spillovers: Evidence for Latin America. Finance Research Letters 20:207–16. doi:10.1016/j.frl.2016.10.001.
   Web of Science ®Google Scholar
• Gilenko, E., and E. Fedorova. 2014. Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach. Research in International Business and Finance 31 (31):32–45. doi:10.1016/j.ribaf.2013.11.002.
   Google Scholar
• Gomez-Gonzalez, J. E., J. Hirs-Garzon, and J. Gamboa-Arbelaez. 2020. Dynamic relations between oil and stock market returns: A multi-country study. The North American Journal of Economics and Finance 51:101082. doi:10.1016/j.najef.2019.101082.
   Web of Science ®Google Scholar
• Ho, L.-C., and C.-H. Huang. 2015. The nonlinear relationships between stock indexes and exchange rates. Japan and the World Economy 33:20–27. doi:10.1016/j.japwor.2015.02.002.
   Web of Science ®Google Scholar
• Hwang, E., H. G. Min, B.-H. Kim, and H. Kim. 2013. Determinants of stock market comovements among US and emerging economies during the US financial crisis. Economic Modelling 35:338–48. doi:10.1016/j.econmod.2013.07.021.
   Web of Science ®Google Scholar
• Jayech, S. 2016. The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach. European Journal of Operational Research 249 (2):631–46. doi:10.1016/j.ejor.2015.08.061.
   Web of Science ®Google Scholar
• Ji, Q., E. Bouri, R. Gupta, and D. Roubaud. 2018. Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. The Quarterly Review of Economics and Finance 70:203–13. doi:10.1016/j.qref.2018.05.016.
   Web of Science ®Google Scholar
• Keddad, B., and C. Schalck. 2020. Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. Economic Modelling 88:356–75. doi:10.1016/j.econmod.2019.09.047.
   Web of Science ®Google Scholar
• Kenourgios, D., A. Samitas, and N. Paltalidis. 2011. Financial crises and stock market contagion in a multivariate time-varying asymmetric framework. Journal of International Financial Markets, Institutions and Money 21 (1):92–106. doi:10.1016/j.intfin.2010.08.005.
   Web of Science ®Google Scholar
• Kocaarslan, B., R. Sari, and U. Soytas. 2017. Are there any diversification benefits among global finance center candidates in Eurasia. Emerging Markets Finance and Trade 53 (2):357–74.
   Web of Science ®Google Scholar
• Lehkonen, H., and K. Heimonen. 2014. Timescale-dependent stock market comovement: BRICs vs. developed markets. Journal of Empirical Finance 28:90–103. doi:10.1016/j.jempfin.2014.06.002.
   Web of Science ®Google Scholar
• Li, C., C. He, and C. Lin. 2018. Economic impacts of the possible China–US trade war. Emerging Markets Finance and Trade 54 (7):1557–77. doi:10.1080/1540496X.2018.1446131.
   Web of Science ®Google Scholar
• Mensi, W., S. Hammoudeh, J. C. Reboredo, and D. K. Nguyen. 2014. Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review 19 (19):1–17. doi:10.1016/j.ememar.2014.04.002.
   Google Scholar
• Narayan, P. K. 2020. Has COVID-19 changed exchange rate resistance to shocks? Asian Economics Letters 1 (1):17389.
   Google Scholar
• Narayan, P. K., D. H. B. Phan, and G. Liu. 2021. COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters 38: 101732.
   PubMed Web of Science ®Google Scholar
• Narayan, P. K., N. Devpura, and H. Wang. 2020. Japanese currency and stock market—What happened during the COVID-19 pandemic? Economic Analysis and Policy 68:191–98. doi:10.1016/j.eap.2020.09.014.
   PubMed Web of Science ®Google Scholar
• Phan, D. H. B., and P. K. Narayan. 2020. Country responses and the reaction of the stock market to COVID-19—A preliminary exposition. Emerging Markets Finance and Trade 56 (10):2138–50. doi:10.1080/1540496X.2020.1784719.
   Web of Science ®Google Scholar
• Spirtes, P., C. N. Glymour, R. Scheines, and D. Heckerman. 2000. Causation, prediction, and search. MIT press.
   Google Scholar
• Yang, J., and D. A. Bessler. 2008. Contagion around the October 1987 stock market crash. European Journal of Operational Research 184 (1):291–310. doi:10.1016/j.ejor.2006.04.046.
   Web of Science ®Google Scholar