Measuring the G20 stock market return transmission mechanism: Evidence from the R² connectedness approach

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Title

Measuring the G20 stock market return transmission mechanism: Evidence from the R² connectedness approach

Content partner

Lincoln University

Collection

Lincoln University Research Archive

Description

This study examines the contemporaneous transmission mechanism across the G20 stock market returns employing a novel R2 connectedness framework which combines the network approach of Kenett et al. (2010, 2015) with the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed daily dataset covers G20 stock market returns from January 3rd, 2000 until June 30th, 2022. We find that the dynamic total connectedness is heterogeneous over time and economic event dependent. Furthermore,...

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Format

Research Paper

Research format

Journal article

Date created

2024-01

Creator

Naeem, MA / Chatziantoniou, I / Gabauer, David / Karim, S

URL

https://hdl.handle.net/10182/18306

Related subjects

G20 stock markets / contemporaneous connectedness / R² decomposition / Accounting, auditing and accountability / Banking, finance and investment / Applied economics

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