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- W4313593715 abstract "We propose a multiplex network including layers of realized variance (RV), implied variance (IV), and variance risk premium (VRP) to investigate the volatility information transmission among 18 global financial markets through the spillover index in the variance decomposition framework. We innovatively study the connectedness of global volatility from aspects of RV, IV, and VRP to portray the interrelation between market volatility and investor sentiments. Upon inspecting and comparing static and dynamic topological characteristics on each layer, we find that information transmission mechanism is different among the three layers. Spillover effects are observed to be the strongest on the IV layer in the long term, while the most evident spillover shocks are observed on the VRP layer in the short term. At the market level, European and the US markets are the main spillover emitters, while Asian markets primarily are spillover recipients. Our study provides valuable insights on global risk management and prevention for portfolio managers and policy makers." @default.
- W4313593715 created "2023-01-06" @default.
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- W4313593715 date "2023-03-01" @default.
- W4313593715 modified "2023-10-16" @default.
- W4313593715 title "Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers" @default.
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- W4313593715 doi "https://doi.org/10.1016/j.intfin.2023.101733" @default.
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