Dynamic asymmetric connectedness in technological sectors

The Journal of Economic Asymmetries - Tập 27 - Trang e00287 - 2023
Muneer M. Alshater1, Huthaifa Alqaralleh2, Rim El Khoury3
1Faculty of Business, Philadelphia University, Amman, Jordan
2Department of Economics, Business and Finance, Mutah University, Jordan
3Adnan Kassar School of Business, Lebanese American University, Lebanon

Tài liệu tham khảo

Abbassi, 2022, What makes firms vulnerable to the Russia--Ukraine crisis?, The Journal of Risk Finance. (ahead-of-print), ahead-of-print. Abosedra, 2021, Dynamics and asymmetries between consumer sentiment and consumption in pre-and during-COVID-19 time: Evidence from the US, The Journal of Economic Asymmetries, 24, 10.1016/j.jeca.2021.e00227 Adekoya, 2022, Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga, Resources Policy, 77, 10.1016/j.resourpol.2022.102728 Akhtaruzzaman, 2021, Financial contagion during COVID–19 crisis, Finance Research Letters, 38, 10.1016/j.frl.2020.101604 Akhtaruzzaman, 2021, COVID–19 media coverage and ESG leader indices, Finance Research Letters Aliyev, 2020, Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100, The Journal of Economic Asymmetries, 22, 10.1016/j.jeca.2020.e00167 Alqaralleh, 2021, Evidence of stock market contagion during the COVID-19 pandemic: A wavelet-copula-GARCH approach, Journal of Risk and Financial Management, 14, 329, 10.3390/jrfm14070329 Antonakakis, 2020, Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions, Journal of Risk and Financial Management, 13, 84, 10.3390/jrfm13040084 Antonakakis, 2017 Arfaoui, 2022, Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic, The Journal of Economic Asymmetries, 25, 10.1016/j.jeca.2022.e00244 Barndorff-Nielsen, 2010, Measuring downside risk: Realised semivariance Baruník, 2016, Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers, Journal of Financial Markets, 27, 55, 10.1016/j.finmar.2015.09.003 Baruník, 2017, Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance, 77, 39, 10.1016/j.jimonfin.2017.06.003 Baruník, 2018, Measuring the frequency dynamics of financial connectedness and systemic risk, Journal of Financial Econometrics, 16, 271, 10.1093/jjfinec/nby001 Batten, 2022, Volatility impacts on the European banking sector: GFC and COVID-19, Annals of Operations Research, 1 Bekaert, 2009, International stock return comovements, The Journal of Finance, 64, 2591, 10.1111/j.1540-6261.2009.01512.x BenSaïda, 2019, Good and bad volatility spillovers: An asymmetric connectedness, Journal of Financial Markets, 43, 78, 10.1016/j.finmar.2018.12.005 Bollerslev, 2006, Leverage and volatility feedback effects in high-frequency data, Journal of Financial Econometrics, 4, 353, 10.1093/jjfinec/nbj014 Boubaker, 2022, Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine, Finance Research Letters, 48, 10.1016/j.frl.2022.102934 Boungou, 2022, The impact of the Ukraine--Russia war on world stock market returns, Economics Letters, 215, 10.1016/j.econlet.2022.110516 Bouri, 2021, Return connectedness across asset classes around the COVID-19 outbreak, International Review of Financial Analysis, 73, 10.1016/j.irfa.2020.101646 Caloia, 2018, Asymmetric semi-volatility spillover effects in EMU stock markets, International Review of Financial Analysis, 57, 221, 10.1016/j.irfa.2018.03.001 Campbell, 1992, No news is good news: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281, 10.1016/0304-405X(92)90037-X Chen, 2019, Dynamic asymmetric spillovers and volatility interdependence on China's stock market, Physica A: Statistical Mechanics and its Applications, 523, 825, 10.1016/j.physa.2019.02.021 Chortane, 2022, Does the Russia-Ukraine war lead to currency asymmetries? A us dollar tale, The Journal of Economic Asymmetries, 26, 10.1016/j.jeca.2022.e00265 Choudhury, 2022 Corbet, 2021, Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre, International Review of Economics & Finance, 71, 55, 10.1016/j.iref.2020.06.022 Dickey, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427, 10.1080/01621459.1979.10482531 Diebold, 2012, Better to give than to receive: Predictive directional measurement of volatility spillovers, International Journal of Forecasting, 28, 57, 10.1016/j.ijforecast.2011.02.006 Fama, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 49, 283, 10.1016/S0304-405X(98)00026-9 Fassas, 2020, Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic, Heliyon, 6, 10.1016/j.heliyon.2020.e05715 Garleanu, 2012, Technological growth and asset pricing, The Journal of Finance, 67, 1265, 10.1111/j.1540-6261.2012.01747.x Garman, 1980, On the estimation of security price volatilities from historical data, Journal of Business, 67, 10.1086/296072 Giannellis, 2016, Intra-national and international spillovers between the real economy and the stock market: The case of China, The Journal of Economic Asymmetries, 14, 78, 10.1016/j.jeca.2016.07.001 Golosnoy, 2015, Intra-daily volatility spillovers in international stock markets, Journal of International Money and Finance, 53, 95, 10.1016/j.jimonfin.2015.01.002 Guo, 2021, Tail risk contagion between international financial markets during COVID-19 pandemic, International Review of Financial Analysis, 73, 10.1016/j.irfa.2020.101649 Han, 2016, The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series, Journal of Econometrics, 193, 251, 10.1016/j.jeconom.2016.03.001 Hsu, 2010, Technology prospects and the cross-section of stock returns, Journal of Empirical Finance, 17, 39, 10.1016/j.jempfin.2009.08.001 Jebabli, 2022, Volatility spillovers between stock and energy markets during crises: A comparative assessment between the 2008 global financial crisis and the COVID-19 pandemic crisis, Finance Research Letters, 46, 10.1016/j.frl.2021.102363 Kamal, 2022, Asymmetric connectedness between cryptocurrency environment attention index and green assets, The Journal of Economic Asymmetries, 25, 10.1016/j.jeca.2022.e00240 Kung, 2015, Innovation, growth, and asset prices, The Journal of Finance, 70, 1001, 10.1111/jofi.12241 Lindman, 2020, Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro, Journal of Empirical Finance, 56, 42, 10.1016/j.jempfin.2019.10.005 Liu, 2022, Industries' heterogeneous reactions during the COVID-19 outbreak: Evidence from Chinese stock markets, Journal of International Financial Management & Accounting, 1 Liu, 2022, International stock market risk contagion during the COVID-19 pandemic, Finance Research Letters, 45, 10.1016/j.frl.2021.102145 Longin, 2001, Extreme correlation of international equity markets, The Journal of Finance, 56, 649, 10.1111/0022-1082.00340 Luo, 2019, The asymmetric high-frequency volatility transmission across international stock markets, Finance Research Letters, 31, 104, 10.1016/j.frl.2019.04.025 Lyócsa, 2020, Fear of the coronavirus and the stock markets, Finance Research Letters, 36, 10.1016/j.frl.2020.101735 Maghyereh, 2022, Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period, The Journal of Economic Asymmetries, 25, 10.1016/j.jeca.2021.e00239 Maghyereh, 2015, Dynamic transmissions between the US and equity markets in the MENA countries: New evidence from pre-and post-global financial crisis, The Quarterly Review of Economics and Finance, 56, 123, 10.1016/j.qref.2014.08.005 Mensi, 2021, Asymmetric volatility connectedness among main international stock markets: A high frequency analysis, Borsa Istanbul Review, 10.1016/j.bir.2020.12.003 Mensi, 2021, Asymmetric volatility connectedness among U.S. stock sectors, The North American Journal of Economics and Finance, 56, 10.1016/j.najef.2020.101327 Mensi, 2019, High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets, The North American Journal of Economics and Finance, 50, 10.1016/j.najef.2019.101031 Müller, 1993 Nasreen, 2020, Dynamic connectedness between oil prices and stock returns of clean energy and technology companies, Journal of Cleaner Production, 260, 10.1016/j.jclepro.2020.121015 Nguyen, 2021, International tail risk connectedness: Network and determinants, Journal of International Financial Markets, Institutions and Money, 72, 10.1016/j.intfin.2021.101332 Niebel, 2018, ICT and economic growth--Comparing developing, emerging and developed countries, World Development, 104, 197, 10.1016/j.worlddev.2017.11.024 Owusu Junior, 2021, COVID-19 as information transmitter to global equity markets: Evidence from CEEMDAN-based transfer entropy approach, Mathematical Problems in Engineering, 2021, 10.1155/2021/8258778 Palandri, 2015, Do negative and positive equity returns share the same volatility dynamics?, Journal of Banking & Finance, 58, 486, 10.1016/j.jbankfin.2015.05.017 Pandey, 2022, Russia-Ukraine war and the global tourism sector: A 13-day tale, Current Issues in Tourism, 1–9 Pandey, 2021, Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak, International Review of Economics & Finance, 71, 467, 10.1016/j.iref.2020.09.014 Papadamou, 2021, Flight-to-quality between global stock and bond markets in the COVID era, Finance Research Letters, 38, 10.1016/j.frl.2020.101852 Pesaran, 1998, Generalised impulse response analysis in linear multivariate models, Economics Letters, 58, 17, 10.1016/S0165-1765(97)00214-0 Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335 Segal, 2015, Good and bad uncertainty: Macroeconomic and financial market implications, Journal of Financial Economics, 117, 369, 10.1016/j.jfineco.2015.05.004 Shah, 2022, Asymmetric, time and frequency-based spillover transmission in financial and commodity markets, Journal of Economic Asymmetries, 25, 10.1016/j.jeca.2022.e00241 Shahzad, 2021, Asymmetric volatility spillover among Chinese sectors during COVID-19, International Review of Financial Analysis, 75, 10.1016/j.irfa.2021.101754 Singh, 2022, Recalibration of priorities: Investor preference and Russia-Ukraine conflict, Finance Research Letters, 50, 10.1016/j.frl.2022.103294 Spiezia, 2013, ICT investments and productivity: Measuring the contribution of ICTS to growth, OECD Journal: Economic Studies, 2012, 199 Su, 2020, Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis, The North American Journal of Economics and Finance, 51, 10.1016/j.najef.2019.101098 Suominen, 2001, Trading volume and information revelation in stock market, Journal of Financial and Quantitative Analysis, 36, 545, 10.2307/2676224 Torrence, 1998, A practical guide to wavelet analysis, Bulletin of the American Meteorological Society, 79, 61, 10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2 Umar, 2022, The impact of the Russia-Ukraine conflict on the connectedness of financial markets, Finance Research Letters, 10.1016/j.frl.2022.102976 Umar, 2022, Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach, Resources Policy, 79, 10.1016/j.resourpol.2022.102966 Umar, 2021, Connectedness between cryptocurrency and technology sectors: International evidence, International Review of Economics and Finance, 71, 910, 10.1016/j.iref.2020.10.021 Vuong, 2022, Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic, The Journal of Economic Asymmetries, 10.1016/j.jeca.2022.e00276 Wang, 2018, Asymmetric volatility spillovers between crude oil and international financial markets, Energy Economics, 74, 592, 10.1016/j.eneco.2018.06.022 Wu, 2001, The determinants of asymmetric volatility, The Review of Financial Studies, 14, 837, 10.1093/rfs/14.3.837 Xu, 2019, Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States, Energy Economics, 80, 310, 10.1016/j.eneco.2019.01.014 Yarovaya, 2022, The price reaction and investment exposure of equity funds: Evidence from the Russia--Ukraine military conflict, The Journal of Risk Finance, 23, 669, 10.1108/JRF-07-2022-0174 Yousaf, 2022, The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach, Journal of Behavioral and Experimental Finance, 35, 10.1016/j.jbef.2022.100723 Zehri, 2021, Stock market comovements: Evidence from the COVID-19 pandemic, The Journal of Economic Asymmetries, 24, 10.1016/j.jeca.2021.e00228 Zhang, 2020, Global financial crisis and rising connectedness in the international commodity markets, International Review of Financial Analysis, 68, 10.1016/j.irfa.2018.08.003 Zhang, 2022, COVID-19′s impact on the spillover effect across the Chinese and U.S. stock markets, Finance Research Letters Zorgati, 2021, Spatial financial contagion during the COVID-19 outbreak: Local correlation approach, Journal of Economic Asymmetries, 24, 10.1016/j.jeca.2021.e00223