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dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorKambouroudis, Dimosen_UK
dc.contributor.authorKorkusuz, Buraken_UK
dc.description.abstractThis paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory. Specifically, we construct a volatility network of international financial markets utilising the spatial connectedness of spillovers (consisting of nodes and edges). The findings show that spillover relations between global variables and G20 markets varies significantly across five identified sub-periods. Notably, networks are much denser in crisis periods compared to non-crisis periods. In comparing two crisis periods, Global Financial Crisis (2008) and Covid-19 Crisis (2020) periods, the network statistics suggest that volatility spillovers in the latter period are more transitive and intense than the former. This suggests that financial volatility spreads more rapidly and directly through key financial indicators to the G20 stock markets. For example, oil and bonds are the largest volatility senders, while the markets of Saudi Arabia, Russia, South Africa, and Brazil are the main volatility receivers. In the former crisis, the source of financial volatility concentrates primarily in the US, Australia, Canada, and Saudi Arabia, which are the largest volatility senders and receivers. China emerges as generally the least sensitive market to external volatility.en_UK
dc.relationMcMillan D, Kambouroudis D & Korkusuz B (2022) Complex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Markets. Empirical Economics.en_UK
dc.rightsThis item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.subjectVolatility spilloveren_UK
dc.subjectComplex network theoryen_UK
dc.subjectGlobal financial indicatorsen_UK
dc.subjectG20 stock marketsen_UK
dc.titleComplex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Marketsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargoreason[network_paper_burak_dm.pdf] Until this work is published there will be an embargo on the full text of this work. Publisher requires embargo of 12 months after publication.en_UK
dc.citation.jtitleEmpirical Economicsen_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.description.notesOutput Status: Forthcomingen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationAccounting & Financeen_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.authorKambouroudis, Dimos|0000-0002-8230-0028en_UK
local.rioxx.authorKorkusuz, Burak|en_UK
local.rioxx.projectInternal Project|University of Stirling|
Appears in Collections:Accounting and Finance Journal Articles

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