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Journal Articles Physica A: Statistical Mechanics and its Applications Year : 2018

A global network topology of stock markets: Transmitters and receivers of spillover effects

Abstract

This paper applies a bivariate cross-quantilogram approach to examine the spillover network structure in the stock markets of 58 countries according to bearish, normal and bullish market scenarios. Our aim is to identify the strongest interdependencies, the directionality of the spillover risk effects, and to detect those equity markets with the potential to cause global systemic risk. The results highlight the role of the US and Canadian equity markets as major spillover transmitters, while the stock markets of Romania, Taiwan and Mexico act mainly as spillover receivers. Particularly strong spillovers are observed from the Canadian and US equity markets towards the Irish market, and from the Brazilian equity market towards the Kenyan equivalent. The equity market networks suggest that only the US equity market can trigger systemic risk on a global scale. Implications of the results are discussed.
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hal-01994762 , version 1 (25-01-2019)

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Syed Jawad Hussain Shahzad, Jose Areola Hernandez, Mobeen Ur Rehman, Khamis Hamed Al-Yahyaee, Muhammad Zakaria. A global network topology of stock markets: Transmitters and receivers of spillover effects. Physica A: Statistical Mechanics and its Applications, 2018, 492, pp.2136-2153. ⟨10.1016/j.physa.2017.11.132⟩. ⟨hal-01994762⟩
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