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This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis to measure volatility spillovers using the Diebold and Yilmaz (2012, 2014) methodology. We also examine the network connectedness at different stages of recent crises. Our finding indicates that recent crises intensify volatility spillovers, supporting the financial contagion effects. Furthermore, the GIPSI (except Spain and Greece markets), global and regional U.S. markets are net transmitter of shocks while the rest stock markets are net receiver of shocks. [ABSTRACT FROM AUTHOR]

This study examines the dynamic correlations and portfolio diversification between the major developed and BRICS stock markets. The results reveal a significant variability in the time-varying conditional correlations between these markets during upturn and downturn periods. We underline the importance of overweighting the optimal portfolios with stocks from the developed countries over those from the BRICS. Finally, we demonstrate the usefulness of using developed market stocks in the BRICS stock portfolio risk management. [ABSTRACT FROM AUTHOR]

This paper examines the dynamic return and volatility spillovers between the Shanghai Futures Exchange (SFE) and the London Metal Exchange (LME) from 2007 to 2016 using the new spillover index of Diebold and Yilmaz (2012). Our results indicate that the LME nonferrous metal futures have a greater impact on SFE nonferrous metal futures. In particular, these trends are more pronounced in the aftermath of the recent financial crises, indicating the strength of spillovers during periods of turmoil. The direction of spillovers significantly depends on time variation. [ABSTRACT FROM AUTHOR]

• We examine the quantile return spillovers between oil and international REIT. • The extreme oil–REIT nexus is heterogeneous and asymmetric. • The return spillover is stronger at lower quantiles. • The oil market acts as a net transmitter during the downside period. • The hedging strategy is expensive during COVID-19. We examine the quantile return spillovers between oil and international REIT markets (Australia, Belgium, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, New Zealand, Singapore, UK, and US). Using a quantile connectedness approach, we show that the extreme oil–REIT nexus is heterogeneous and asymmetric. The return spillover is stronger at lower quantiles. Furthermore, the oil market acts as a net transmitter of return spillovers to the REIT markets during times of downside return and a net receiver of spillovers during upside returns. The hedging strategy is expensive during COVID-19, with oil offering the highest hedging effectiveness for Hong Kong. [ABSTRACT FROM AUTHOR]