Contagion or Interdependence? Comparing Signed and Unsigned Spillovers

58 Pages Posted: 18 Jun 2020 Last revised: 26 Aug 2020

See all articles by Raisul Islam

Raisul Islam

University of Tasmania; University of Tasmania

Vladimir Volkov

Tasmania School of Business and Economics, University of Tasmania

Date Written: May 25, 2020

Abstract

Differentiating between `good' and `bad' spillovers we disentangle sources of potential crisis from the intricately complex web of connections across international equity markets. In particular, we analyze the behaviour of 30 global equity markets and compute multiple spillover measures, which encapsulate many large and small crises episodes. Instead of relying on ex–post-crisis information, our model identifies crises periods. Moreover, we are able to detect newly emerging contagion in the system.

Keywords: Systemic risk, signed spillover, contagion, interdependence

JEL Classification: C3,C32,C45,C53,D85,G10

Suggested Citation

Islam, Raisul and Volkov, Vladimir, Contagion or Interdependence? Comparing Signed and Unsigned Spillovers (May 25, 2020). Available at SSRN: https://ssrn.com/abstract=3609710 or http://dx.doi.org/10.2139/ssrn.3609710

Raisul Islam (Contact Author)

University of Tasmania ( email )

Locked Bag 1317
Launceston, 7250
Australia
+61362262895 (Phone)

HOME PAGE: http://www.raisulislam.net

University of Tasmania ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia
+61362262895 (Phone)

HOME PAGE: http://www.raisulislam.net

Vladimir Volkov

Tasmania School of Business and Economics, University of Tasmania ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia

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