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This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the vector autoregression generalized autoregressive conditional heteroskedasticity (VAR-GARCH) model to examine the information transmission of these two markets on a two-way basis and the dynamic conditional correlation (DCC)-GARCH model to assess the bivariate correlation structure between each DeFi and ETF pair. The volatility spillover analysis proves a contagion effect occurred between different geographic markets, and even between markets of different natures and typologies, during the most turbulent moments of the COVID-19 crisis and the war in the Ukraine. Our results also reveal a weak positive correlation between most DeFi and ETF pairs and positive hedge ratios that approach unity during turbulent times. In addition, DeFi assets, except for the Bazaar (BZR) Protocol, can offer diversification gains when included in financial investment portfolios. These results are particularly relevant for portfolio managers and policy-makers when designing investment strategies, especially during periods of financial crisis. [ABSTRACT FROM AUTHOR]

In the study, the existence of volatility spillovers between stock, foreign exchange, crude oil, and precious metals markets is investigated for Turkiye. Daily data covering the period January 1, 2013--January 1, 2023 are analyzed using Diebold and Yılmaz Connectivity Analysis. In the study, the BIST100 index, USD/TL and EUR/TL exchange rate, Brent crude oil price in dollar terms, and spot gold and spot silver prices in dollar terms are analyzed. Findings of the study show that the directional volatility spillovers from others to Brent are the smallest, and the directional volatility spillovers from others to EUR are the largest. On the other hand, the directional volatility spillovers from USD to others are the largest spillovers, and the directional volatility spillovers from Brent to others are the smallest. Moreover, the net volatility spillovers from USD to others are the largest, and the net volatility spillovers from BIST100 to others are the smallest. [ABSTRACT FROM AUTHOR]

Abstract This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the vector autoregression generalized autoregressive conditional heteroskedasticity (VAR-GARCH) model to examine the information transmission of these two markets on a two-way basis and the dynamic conditional correlation (DCC)-GARCH model to assess the bivariate correlation structure between each DeFi and ETF pair. The volatility spillover analysis proves a contagion effect occurred between different geographic markets, and even between markets of different natures and typologies, during the most turbulent moments of the COVID-19 crisis and the war in the Ukraine. Our results also reveal a weak positive correlation between most DeFi and ETF pairs and positive hedge ratios that approach unity during turbulent times. In addition, DeFi assets, except for the Bazaar (BZR) Protocol, can offer diversification gains when included in financial investment portfolios. These results are particularly relevant for portfolio managers and policy-makers when designing investment strategies, especially during periods of financial crisis.

The emergence of Covid-19 in late 2019 rapidly shattered the Asia-Pacific region (APR), a bastion of economic dynamism, and it became the epicenter of the global health crisis. This unprecedented pandemic not only triggered a public health catastrophe but also unleashed a financial storm, exposing vulnerability within the region's interconnected economies. This study identifies the factors driving volatility spillovers within Asian-Pacific financial markets during the initial wave of the Covid-19 pandemic (January 2020–February 2021). We analyze the interplay of pandemic transmission dynamics, government interventions, central bank policies, and socioeconomic variables. Our findings reveal a robust and persistent association between the rising number of Covid-19 cases per million and volatility spillovers. We introduce three novel determinants—the number of intensive care unit beds, population density, and the proportion of the elderly population—which significantly impact volatility transmission in response to new cases. Stringent government measures, such as travel bans and lockdowns, mitigate volatility spillovers. Conversely, central bank policies increase volatility spillovers. These insights contribute to a deeper understanding of financial market dynamics in the context of global health emergencies. This knowledge equips policy makers in the APR with valuable tools for navigating future crises.

Abstract This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach combined with a high frequency (hourly) dataset ranging from 1st June 2018 to 22nd July 2022, we find that (i) good and bad spillovers are time-varying; (ii) bad volatility spillovers are more pronounced than good spillovers; (iii) a strong asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate Islamic cryptocurrencies. Specifically, Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers.

This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach combined with a high frequency (hourly) dataset ranging from 1st June 2018 to 22nd July 2022, we find that (i) good and bad spillovers are time-varying; (ii) bad volatility spillovers are more pronounced than good spillovers; (iii) a strong asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate Islamic cryptocurrencies. Specifically, Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers. [ABSTRACT FROM AUTHOR]

This paper investigates the volatility spillover and connectedness among the stock markets of G7, BRICS countries, and other countries where COVID-19 is more severe. For this investigation, we perform static and rolling-window analysis to measure volatility spillovers using the spillover index approach and LASSO-VAR for estimating high-dimensional VARs. We also examine the network connectedness at different periods. Our findings indicate that the recent COVID-19 pandemic intensifies volatility spillovers, supporting the financial contagion effects. Furthermore, the United States, Spain, and Russia markets are net volatility transmitters for most of the period before and during the COVID-19 pandemic. [ABSTRACT FROM AUTHOR]

Abstract This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four energy companies (Exxon Mobil, Chevron, ConocoPhillips, and Nextera Energy), and four mega-technology companies (Apple, Microsoft, Alphabet, and Amazon) in the US. We analyze data for the period November 15, 2017–October 28, 2022 using methodologies in Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Economet 16(2):271–296 2018). Our analysis shows the COVID-19 pandemic amplified volatility spillovers, thereby intensifying the impact of financial contagion between markets. This finding indicates the impact of the pandemic on the US economy heightened risk transmission across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility transmitters, while Tether, BNB, Exxon Mobil, Nextera Energy, Alphabet, and Amazon are net receivers Our results suggest that short-term volatility spillovers outweigh medium- and long-term spillovers, and that investors should be more concerned about short-term repercussions because they do not have enough time to act quickly to protect themselves from market risks when the US market is affected. Furthermore, in contrast to short-term dynamics, longer term patterns display superior hedging efficiency. The net-pairwise directional spillovers show that Alphabet and Amazon are the highest shock transmitters to other companies. The findings in this study have implications for both investors and policymakers.

This paper analyzes the returns and volatility connectedness between oil prices and Eurozone sector returns during the global financial crisis. We employ the TVP-VAR frequency connectedness approach with daily data of Brent prices and 18 Eurozone supersector indices from 15 November 2014 to 24 November 2023. Our results show a high average connectedness of the returns and volatilities. Industrial Goods are the largest transmitter contrariwise Media supersector is the largest receiver of shocks on returns. The same finding is for volatility, the result shows that Industrial Goods and Services transmit the highest risk in contrast, the Media has the highest receiver volatility indices. The timevarying connectedness (TCI) of returns and volatilities in both show a drastic increase in March 2020. This increase is a result of COVID-19. Whereas, there has been no rise in connectivity following Russia's invasion of Ukraine. Our result highlighted that Brent was a net receiver of volatility shocks during the Russian invasion of Ukraine. [ABSTRACT FROM AUTHOR]

This study investigates the volatility and return spillovers between Private Equity Buyouts (PE) and Venture Capital (VC), the equity market, precious metals, real estate, and the Dollar index, which has been widely ignored in the literature. We analysed daily data from 2 January 2004 to 29 December 2022 using Diebold and Yılmaz's (2012) framework. Our data covers the global financial crisis and the COVID-19 period and is rich enough to examine the linkages between the mentioned financial markets thoroughly. PE's higher connectedness with the equity market than VC’s is the main finding of this research. Besides, PE and VC have low connectedness to precious metals, real estate, and the Dollar index. In the sample period, VC is a net receiver, while PE is a net transmitter of volatility and return spillover. An exciting finding is that during the COVID-19 pandemic, VC experienced lower volatility spillover than PE from the broad market proxied by S&P 500. Investors and portfolio managers can benefit from our results to better diversify their portfolios. [ABSTRACT FROM AUTHOR]

We explore evolving research trends and hotspots in financial contagion through keywords co‐occurrence and co‐citation network analyses. 2,071 articles have been collected from Web of Science Core Collection database from 2005 to 2021 and been analyzed by using bibliometric methods. The results indicate a tremendous growth in research on financial contagion, especially following the Global Finance Crisis. The current research mainly focuses on understanding the causes and consequences of past financial crises and recessions, examining the network effects of banks and other important financial institutions on risk contagion, developing new systematic approaches to modelling financial contagion, and providing empirical evidences for financial contagion among various asset classes and across different countries and regions. We find that there is still no consensus regarding the causes and measures of financial contagion, however, new promising perspectives have emerged to expand research in this area. We also propose several future directions for studies on financial contagion based on the research gap identified in this review. [ABSTRACT FROM AUTHOR]

This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four energy companies (Exxon Mobil, Chevron, ConocoPhillips, and Nextera Energy), and four mega-technology companies (Apple, Microsoft, Alphabet, and Amazon) in the US. We analyze data for the period November 15, 2017–October 28, 2022 using methodologies in Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Economet 16(2):271–296 2018). Our analysis shows the COVID-19 pandemic amplified volatility spillovers, thereby intensifying the impact of financial contagion between markets. This finding indicates the impact of the pandemic on the US economy heightened risk transmission across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility transmitters, while Tether, BNB, Exxon Mobil, Nextera Energy, Alphabet, and Amazon are net receivers Our results suggest that short-term volatility spillovers outweigh medium- and long-term spillovers, and that investors should be more concerned about short-term repercussions because they do not have enough time to act quickly to protect themselves from market risks when the US market is affected. Furthermore, in contrast to short-term dynamics, longer term patterns display superior hedging efficiency. The net-pairwise directional spillovers show that Alphabet and Amazon are the highest shock transmitters to other companies. The findings in this study have implications for both investors and policymakers. [ABSTRACT FROM AUTHOR]

This study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two global (volatility index and global economic activity index) variables to account for the impact of integration into global markets. Empirical results suggest that both countries display distinctive features in their spillover networks. While exchange rates and the stock market figure prominently in Brazil as a source of spillovers, for Turkey, the primary element in spillovers appears to be credit risk indicators. Time-varying analysis results show that the European Debt Crisis of 2010-2011 and the global liquidity crunch of 2018-2019 are two critical periods in volatility spillovers that occurred toward credit risk indicators. Brazil displays more sensitivity to the developments of the pandemic than Turkey, likely due to its dependence on global economic activity and energy prices. Finally, for both countries, the leading variable in spillovers to credit risk indicators during financial turbulence episodes appears to be foreign exchange markets. This result highlights both economies’ fragility and vulnerability to foreign exchange market-based shocks. Thus, we suggest effective and solid measures in this regard. Otherwise, those shocks could potentially induce a higher cost of financing in both economies due to the negative impacts on CDS and ASW spreads.

This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of supply and demand oil shocks on emerging energy markets, stocks of emerging markets, and gold and exploring the impact of unpredictable oil events on the degree of connectedness among these markets. We show that the effect of supply oil price disturbances drives volatility spillovers in emerging markets with prominent medium- and long-term effects, unlike demand oil price unanticipated changes, particularly during turbulent periods such as the 2008 subprime crisis, the COVID-19 pandemic, and the 2015 oil price crash. These volatility spillover effects are influenced by a marked relationship between supply oil disturbances and emerging energy markets. We also expose that the COVID-19 pandemic volatility spillover consequences in emerging markets are unprecedented compared to the 2008 financial crisis. This can be attributed to the different nature of the related oil price disturbances and financial crises. Overall, the findings highlight the role of crude oil supply shocks as drivers not only of volatility dynamics in energy and equity emerging markets but also of financial connectedness patterns in these economies. [ABSTRACT FROM AUTHOR]

This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of supply and demand oil shocks on emerging energy markets, stocks of emerging markets, and gold and exploring the impact of unpredictable oil events on the degree of connectedness among these markets. We show that the effect of supply oil price disturbances drives volatility spillovers in emerging markets with prominent medium- and long-term effects, unlike demand oil price unanticipated changes, particularly during turbulent periods such as the 2008 subprime crisis, the COVID-19 pandemic, and the 2015 oil price crash. These volatility spillover effects are influenced by a marked relationship between supply oil disturbances and emerging energy markets. We also expose that the COVID-19 pandemic volatility spillover consequences in emerging markets are unprecedented compared to the 2008 financial crisis. This can be attributed to the different nature of the related oil price disturbances and financial crises. Overall, the findings highlight the role of crude oil supply shocks as drivers not only of volatility dynamics in energy and equity emerging markets but also of financial connectedness patterns in these economies.

• We adopt the volatility spillover network and block models to identify the aggregation characteristics among provinces. • There is a significantly positive relationship between local government implicit debt and regional financial market spillover. • Local government implicit debt influences regional financial market spillover through two potential channels: credit expansion and the financial situation. This paper investigates how local government implicit debt influences regional financial market spillovers. Utilizing the volatility spillover network of Diebold and Yilmaz (2014) , we demonstrate that financial distress stemming from implicit debt can trigger regional financial market spillovers. Further analysis reveals that credit expansion amplifies the impact of local government implicit debt on cross-province volatility spillovers, while an improved financial situation lessens this impact. Moreover, this effect is more prominent in provinces with a higher foreign trade dependency and greater industrial structural change. [ABSTRACT FROM AUTHOR]

To what extent does the collapse of a digital token spread contagion across cryptocurrency markets? How do markets incorporate information in this turbulent setting? We examine contagion effects across major digital exchanges during the collapse of the FTX exchange and its token, FTT. We find evidence of contagion across crypto exchanges. We also examine the information cascade effects of other crypto assets on FTX when nearly all withdrawals were prohibited. We find abnormal returns for major assets, indicating a flight to safety from less to more authoritative digital assets. The implications for traders, exchanges, and policymakers are discussed. • We find contagion effects across exchanges after FTX's bankruptcy. • We use BEKK GARCH model to analyze market volatility spillovers. • We observe trader shift to more authoritative digital assets. • We offer insights on cryptocurrency systemic risks and regulatory needs. [ABSTRACT FROM AUTHOR]

This paper investigates dynamic returns and volatility spillovers between spot and futures markets in a dual financial system. It further analyses the shock transmission of both volume trading and open interest in the futures market. Empirical results suggest that both spot and futures indices are net transmitters of return spillovers to the volume and open interest of the futures market, whereas the futures volume is the only net transmitter of volatility spillovers to all other variables. This is consistent with the Information Arrival Hypothesis theory. The empirical analysis also evidences the presence of a dynamic interdependence between both Islamic and conventional spot market volatilities and the futures market. In particular, the returns and volatility spillover are bidirectional and ricocheting-off transmission in nature. Specifically, such interdependence is stronger in the case of the Islamic spot index than the conventional spot index and during financial shocks. [Display omitted] • The study examines connectedness between spot and futures markets in the case of a dual financial system. • It further analyses the shock transmission of both volume trading and open interest in the futures market. • We find that pot and futures markets are net transmitters of return shocks to volume and open interest of futures market. • The futures volume is the only net transmitter of volatility spillovers to all other variables. • There is a dynamic interdependence between both Islamic and conventional spot markets volatilities and the futures market. [ABSTRACT FROM AUTHOR]

This paper proposes an interconnected network, including the volatility layer and sentiment layer, to examine imported financial risk in global stock markets. We compare and explore the topology structures of global volatility risk spillovers and sentiment risk spillovers based on the static sample and dynamic sample. Our results show that sentiment risk spillovers across global stock markets are stronger than volatility risk spillovers. Meanwhile, we observe that volatility risk spillovers and sentiment risk spillovers among global stock markets are heterogeneous during periods of financial system stress. The market-level analysis suggests that developed economies, such as the US, UK, and France, are dominant players in global volatility risk and sentiment risk. Finally, we observe that Asian stock markets suffered from substantial imported volatility risks during the crisis, but imported sentiment risks in Asian stock markets are weak. [Display omitted] • We propose an interconnected network to explore global risk spillovers. • The interconnected network includes volatility and sentiment layers. • Sentiment risk spillovers across global stock markets are stronger. • Volatility risk spillovers and sentiment risk spillovers are heterogeneous. • Imported sentiment risks in Asian stock markets are weak. [ABSTRACT FROM AUTHOR]

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits. [Display omitted] • We study frequency connectedness among U.S. energy commodities from 1997 to 2023. • Distress periods of the GFC, the Covid-19, and the Russia-Ukraine war are associated with the highest systemic risk. • The long-term component plays a major role, especially during crises periods; the short-term component plays a minor role. • We quantify the portfolio composition weights and hedging costs under different degrees of distress. • Adding natural gas into an energy portfolio brings diversification benefits. [ABSTRACT FROM AUTHOR]