Estimating Network Connectedness of Financial Markets and Commodities

作     者：Ehsan Bagheri Seyed Babak Ebrahimi Financial Ehsan Bagheri;Seyed Babak Ebrahimi

作者机构：Engineering GroupFaculty of Industrial EngineeringK.N.Toosi University of TechnologyTehranIran 

出 版 物：《Journal of Systems Science and Systems Engineering》 (系统科学与系统工程学报（英文版）)

年 卷 期：2020年第29卷第5期

页      面：572-589页

核心收录：

学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 

基　　金：The authors would like to thank the anonymous reviewers for their time and effort. Their constructive comments and helpful suggestions helped us to clarify the main paper’s research contributions and improve its quality 

主　　题：Financial markets network connectedness econometrics commodity 

摘      要：We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency *** period of study covers Feb 2006 until August *** utilize and expand Diebold and Yilmaz(20142015)connectedness measurement;accordingly,in the variance decomposition structure,we use Hierarchical Vector Autoregression(HVAR)to estimate high dimensional networks more *** empirical results show that markets are highly connected,especially during *** stock markets are the net receiver of shocks,while European and American stock markets are the net transmitter of shocks to other *** pairwise connectedness results suggest that among stock markets,DAX-CAC 40,FTSE 100-CAC 40 and S&P 500-S&P_TSX index are more integrated through connectedness than the *** other markets,WTI crude oil-Brent crude oil,30-Year bond and 10-Year bond,Dollar Index futures-EUR/USD have notable *** terms of cryptocurrencies,they contribute insignificantly to other markets and are highly integrated with each *** and cryptocurrencies seem to be good choices for investors to hedge during a crisis.