Relevant bibliographies by topics / Financial Market Interconnectedness

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers
  5. Reports

Academic literature on the topic 'Financial Market Interconnectedness'

Author: Grafiati
Published: 2 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Financial Market Interconnectedness"

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Yin, Wen. "Cross-Regional Connectedness in the United States’ Housing Market." E3S Web of Conferences 235 (2021): 02033. http://dx.doi.org/10.1051/e3sconf/202123502033.

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The interconnectedness of markets is a useful measure of risk and therefore an indicator of economic stability. In this paper, the interconnectedness among housing markets in different metropolitan areas was analyzed. Interconnectedness between the housing market and other markets were also calculated. In regional studies, West Coast housing markets were found to be the most influential on housing markets elsewhere. Interestingly, overall connectedness across regions steadily increased prior to the subprime mortgage crisis, representing a systematic risk increase. When analyzing diverse market
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Raddant, Matthias, and Dror Y. Kenett. "Interconnectedness in the global financial market." Journal of International Money and Finance 110 (February 2021): 102280. http://dx.doi.org/10.1016/j.jimonfin.2020.102280.

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Loistl, Otto, and Gueorgui S. Konstantinov. "Interactions and Interconnectedness Shape Financial Market Research." Journal of Financial Data Science 2, no. 2 (2020): 51–63. http://dx.doi.org/10.3905/jfds.2020.1.026.

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Geraci, Marco Valerio, and Jean-Yves Gnabo. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions." Journal of Financial and Quantitative Analysis 53, no. 3 (2018): 1371–90. http://dx.doi.org/10.1017/s0022109018000108.

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We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor’s 500 index and estimate interconnectedness at the sectoral and institutional levels. At the sectoral level, we uncover two main events in terms of interconnectedness: the Long-Term Capital Management crisis and the 2008 financial crisis. After these crisis events, we find a gradual decrease in interconnectedness, not observable using the classical rolling-window approach. At the inst
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MEHER, PREMANANDA, and ROHITA KUMAR MISHRA. "INTERCONNECTEDNESS OF BRICS FINANCIAL MARKETS: A SPILLOVER ANALYSIS." Review of Economic and Business Studies 17, no. 1 (2024): 63–79. https://doi.org/10.47743/rebs-2024-1-0003.

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This study examines the spillover effects within the financial markets of Brazil, Russia, India, China, and South Africa (BRICS countries) using market index, currency conversion to USD, and 10-year government bond yield as key datasets. Through the application of correlation analysis, Granger causality tests, and Vector Autoregression (VAR) models, we investigate the interconnectedness and causal relationships among these variables across the BRICS economies. Our findings reveal significant correlations and causal linkages between market indices, currency conversions, and bond yields, indicat
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Brunetti, Celso, Matthew Carl, Jacob Gerszten, Chiara Scotti, and Chaehee Shin. "Interconnectedness in the Corporate Bond Market." Finance and Economics Discussion Series, no. 2024-066 (August 2024): 1–57. http://dx.doi.org/10.17016/feds.2024.066.

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Does interconnectedness improve market quality? Yes.We develop an alternative network structure, the assets network: assets are connected if they are held by the same investors. We use several large datasets to build the assets network for the corporate bond market. Through careful identification strategies based on the COVID-19 shock and “fallen angels,” we find that interconnectedness improves market quality especially during stress periods. Our findings contribute to the debate on the role of interconnectedness in financial markets and show that highly interconnected corporate bonds allow f
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Altinoglu, Levent, and Joseph E. Stiglitz. "Collective Moral Hazard and the Interbank Market." American Economic Journal: Macroeconomics 15, no. 2 (2023): 35–64. http://dx.doi.org/10.1257/mac.20210333.

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The concentration of risk within the financial system leads to systemic instability. We propose a theory to explain the structure of the financial system and show how it alters the risk-taking incentives of financial institutions when the government optimally intervenes during crises. By issuing interbank claims, risky institutions endogenously become large and interconnected. This concentrated structure enables institutions to share the risk of systemic crises in a privately optimal way but leads to excessive risk taking even by peripheral institutions. Interconnectedness and excessive risk t
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Romashkina, Gulnara, Kirill Andrianov, Djamilia Skripnuk, and Yulia Yukhtanova. "Interconnectedness of financial markets in crises in the case of the enlarged BRICS." Journal of Infrastructure, Policy and Development 8, no. 12 (2024): 8536. http://dx.doi.org/10.24294/jipd.v8i12.8536.

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The article presents a study of the connectivity and integration of sovereign bond and stock markets in 10 BRICS+ countries in the context of crisis instabilities in 2019−2024. Financial markets are becoming more integrated, and an increasing share of public investments are carried out across borders, which increases not only the opportunities for participants, but also the risks of a new crisis. The work used data on central bank rates of the considered countries, yield indices of 10-year government bonds, gold and Brent oil prices. The methods include the analysis of exchange rate dynamics,
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Akbar, Afrendi, Mustafa M. Amin, Vita Camellia, Elmeida Effendy, and Dina Keumala Sari. "Correlation Between Psychological Distress and the Binge Eating Scale Among Master’s Students of Clinical Medicine with Overweight And Obesity: in Relation to the 12th Sustainable Development Goal (SDGs)." Journal of Lifestyle and SDGs Review 5, no. 3 (2025): e05470. https://doi.org/10.47172/2965-730x.sdgsreview.v5.n03.pe05470.

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Objective: The objective of this study is to examine how international monetary policy shocks impact emerging markets' economic stability and policy-making through currency interconnectedness analysis, in the context of the SDGs. Theoretical Framework: The study examines financial interconnectedness using the Diebold-Yilmaz spillover index to measure shock transmission among emerging economies effectively and comprehensively. Method: The methodology adopted for this research employs a TVP-VAR model to analyze daily exchange rate data for USD currency pairs from six major emerging markets—India
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Sarwat, Ayesha, and Hameeda Akhtar. "Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis." Bulletin of Business and Economics (BBE) 12, no. 4 (2023): 238–53. http://dx.doi.org/10.61506/01.00108.

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During times of financial turmoil, when traditional assets experience significant volatility, commodity markets provide diversification benefits to investors. The objective is to investigate the factors influencing financial contagion between the United States and emerging Asian equity markets (China and India). The study analyzes the influential impact of the volatility index, gold, oil, and USD index on financial contagion among the markets. The dynamic conditional correlation analysis is utilized to explore the correlations during the US subprime and Covid-19 crises, and quantile regression
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Dissertations / Theses on the topic "Financial Market Interconnectedness"

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Salakhova, Dilyara. "Essays on liquidity : interconnectedness and interbank contagion." Thesis, Paris 10, 2015. http://www.theses.fr/2015PA100026/document.

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Compte-tenu du degré de complexité des interconnexions au sein du système financier mondial, mis en avant pendant la crise financière 2007-2009, l'adoption des modèles de réseaux, comme paradigme d'analyse et d'amélioration de la robustesse du système, paraît particulièrement pertinent, sinon nécessaire. Les institutions financières sont vues comme des nœuds d'un réseau où les transactions interbancaires constituent les liens au travers desquels la propagation des chocs se matérialise. En outre, la crise a également mis en évidence le rôle d'un rationnement de la liquidité comme canal majeur d
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Kocholová, Soňa. "Interconnectedness of capital markets during the financial crisis." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-347374.

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We study the interconnectedness between the United States and thirty three international stock markets during the period of January 2003 to December 2012, with an emphasis on the global financial crisis of autumn 2008. By applying the DCC-GARCH model, our results show evidence of the increase in correlation during the period of crisis. The largest increase was reported for Argentina and India. The average increase was 0.164. Within the sample period, the US stock market was found to be the most correlated with markets of Brazil, Canada, France, Germany, Euro Area and Mexico and the least corre
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Book chapters on the topic "Financial Market Interconnectedness"

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Joseph, Tonuchi E., Atif Jahanger, Joshua Chukwuma Onwe, and Daniel Balsalobre-Lorente. "The Implication of Cryptocurrency Volatility on Five Largest African Financial System Stability." In Blockchain, Crypto Assets, and Financial Innovation. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-6839-7_7.

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Abstract This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility and lack of regulation in the cryptocurrency market. The study employed both diagonal BEKK-GARCH and DCC-GARCH to analyze the existence of spillover effects and correlation between both markets. A daily time series dataset from January 1, 2017, to December 31, 2021, was employed to analyze the contagion effect. Our findings reveal a sign
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Huang, Junhao. "Examination of the interconnectedness between the Chinese and US stock markets." In Exploring the Financial Landscape in the Digital Age. CRC Press, 2024. http://dx.doi.org/10.1201/9781003508816-41.

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Quirici, Maria Cristina, and Roberto Moro-Visconti. "Systemic Risks and Multilayer Financial Networks: From Contagion to Mitigation." In New Economic Windows. Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-64916-5_5.

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AbstractThe global financial system’s interconnectedness has increased due to globalization, technological advancements and the integration of financial markets. Financial institutions and markets across different countries are more closely linked than ever before; while this interconnectedness facilitates global trade and investment, it also means that financial turmoil can quickly spread from one country to another. Systemic risk is the possibility that an event at the company level could trigger severe instability or collapse an entire industry or economy. The fall of Lehman Brothers in 200
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Panetta, Ida Claudia, and Sabrina Leo. "Systemic Cyber Risk in the Financial Sector: Can Network Analysis Assist in Identifying Vulnerabilities and Improving Resilience?" In New Economic Windows. Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-64916-5_8.

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AbstractThe increasing interconnectedness and digitalisation of the financial sector have exposed it to a new and pervasive threat: systemic cyber risk. Systemic cyber risk in finance refers to the potential for a cyber-attack or breach to cause widespread disruption and instability across financial systems and markets. This type of risk can arise from various sources, including hackers, insider threats, and technological failures. Financial institutions and policymakers can help safeguard the global economy and protect against potential disruptions and instability by addressing systemic cyber
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Pacelli, Vincenzo, Ida Claudia Panetta, and Maria Melania Povia. "Systemic Risk and Network Science: A Bibliometric and Systematic Review." In New Economic Windows. Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-64916-5_2.

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AbstractEstimating systemic risk in networks of financial institutions is increasingly a challenge in policymaking. The complexity of financial networks may increase the difficulty of mitigating systemic risk and how the topology of connections can propagate the failure of an individual entity through the network in the system. Our study’s primary purpose is to apply the bibliometric techniques and the systematic review method to understand the evolution of research on systemic risk and interconnectedness among financial markets and institutions and highlight the literature’s progress during t
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Thakkar, Shrey, and Sana Kalra. "VOLATILITY IN THE STOCK MARKET IN RELATION TO GOLD PRICES, CRUDE OIL, AND FOREX IN THE INDIAN CONTEXT." In Futuristic Trends in Management Volume 3 Book 13. Iterative International Publisher, Selfypage Developers Pvt Ltd, 2024. http://dx.doi.org/10.58532/v3bfma13p3ch2.

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This research paper investigates the relationship between stock market volatility and the prices of gold, crude oil, and foreign exchange (forex) in the Indian context. The study aims to analyze the interconnectedness of these asset classes and their impact on the Indian stock market. It utilizes a comprehensive dataset of historical price movements and employs statistical and econometric methods to assess the degree of correlation and causation between the variables. The findings will provide valuable insights for investors, policymakers, and financial institutions in managing risks and makin
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Purushottam Tambi, Parul, and Tejashree Vinay Pate. "INTERNATIONAL FINANCE." In The Three Pillars of Business: A Guide to Integrated Marketing, Finance & HR Practices. Iterative International Publishers, Selfypage Developers Pvt Ltd, 2024. https://doi.org/10.58532/nbennurtpch10.

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International finance explores the monetary and economic relationships between countries, covering exchange rates, foreign direct investment, trade, and global markets. Its history traces back to ancient trade systems, the rise of banking in medieval times, and key developments like the Bretton Woods conference and the establishment of the IMF and World Bank. Today, globalization and technological advancements have reshaped the field, while events like the 2008 financial crisis highlight market interconnectedness. Global financial markets, including stocks, bonds, forex, and commodities, drive
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Ross, Lisa-Marie. "Regulatory Challenges and Opportunities in Web 3." In Concepts, Technologies, Challenges, and the Future of Web 3. IGI Global, 2023. http://dx.doi.org/10.4018/978-1-6684-9919-1.ch024.

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The novel use of distributed ledger technology (DLT) in the financial sector poses considerable regulatory challenges, such as anonymity, technology neutrality, interconnectedness within the market of virtual assets, as well as with the traditional financial system and new legal risks to regulators around the globe. At the same time, the novelty of DLT for financial uses embodies also significant potential benefits to the financial sector, like innovation, inclusion, and competition. This chapter analyses these challenges and opportunities in detail and subsequently reviews possible regulatory
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Şahinler, Ayşe Nur. "The Impact of Global Volatility Indices on Sovereign Credit Risk: A Case Study of Türki̇ye’s CDS Premiums." In Academic Analysis in Macroeconomics. Özgür Yayınları, 2024. https://doi.org/10.58830/ozgur.pub570.c2332.

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This study examines the influence of global market volatility, measured by the CBOE Volatility Indices (VIX and VXO), on Türkiye’s five-year Credit Default Swap (CDS) premiums. The analysis, covering VIX data from February 28, 2008, to November 27, 2024, and VXO data from February 28, 2008, to August 30, 2021, utilizes advanced econometric techniques, including multivariate GARCH models and the causality in variance test. The results reveal a significant and time-varying correlation between Türkiye's CDS premiums and global volatility indices, particularly during times of heightened market unc
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Gauthier, Céline, Toni Gravelle, Xuezhi Liu, and Moez Souissi. "What Matters in Determining Capital Surcharge for Systemically Important Financial Institutions?" In Simulation in Computational Finance and Economics. IGI Global, 2013. http://dx.doi.org/10.4018/978-1-4666-2011-7.ch011.

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One way of internalising the externalities each individual bank imposes on the rest of the financial system is to impose capital surcharges (KS) on them in line with their systemic importance. Given the complexity of the financial system and the resulting difficulties in measuring systemic importance, it is sometimes argued to simply apply higher KS to larger banks, abstracting from other factors like interconnectedness. In this chapter, the authors consider different network structures of the banking system that are characterized by two different centrality measures. Their main finding is tha
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Conference papers on the topic "Financial Market Interconnectedness"

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Zafar, Madiha, and Muhammad Owais Qarni. "UNCOVERING DIVERSIFICATION BENEFITS: RETURN SPILLOVERS IN USA ESG AND NON-ESG ORIENTED BANKS." In International Conference on Business, Economics, Law, Language & Psychology, 18-19 June 2024, London. Global Research & Development Services, 2024. http://dx.doi.org/10.20319/icssh.2024.328329.

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Financial products are interconnected through the balance sheet and affect the overall economic system by connectedness. Investors are interested in the connectedness of markets, so our study investigated spillover dynamics and their influence on ESG and non-ESG-oriented banks in the USA. Our dataset comprises 2319 observations from January 1, 2015, to November 22, 2023. We employed the spillover index of Diebold and Yilmaz (2012) to conduct an extensive analysis of ESG-oriented and non-ESG-oriented banks in the USA. The study uncovered significant differences in interconnectedness and spillov
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Meriacri, Stefanida. "The impact of globalization on accounting." In International student scientific conference "Challenges of accounting for young researchers", 8th Edition Acronym ISSC 2024. Academy of Economic Studies of Moldova, 2024. https://doi.org/10.53486/issc2024.36.

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This topic revolves around examining the profound impact of globalization on the field of accounting. Globalization, characterized by the increasing interconnectedness of economies and societies worldwide, has significantly transformed accounting practices and principles. One major aspect of this transformation is the adoption and convergence of International Financial Reporting Standards (IFRS), which aim to harmonize accounting practices across borders, facilitating comparability and transparency in financial reporting. Furthermore, globalization has heightened the importance of currency exc
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Reports on the topic "Financial Market Interconnectedness"

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Melo-Velandia, Luis Fernando, José Vicente Romero, and Diego Niño-Garavito. Analyzing Exchange Rate Dynamics within the Global Financial Cycle: A DCC-Copula approach. Banco de la República, 2025. https://doi.org/10.32468/be.1320.

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The Global Financial Cycle (GFC), defined as the fluctuations in international capital flows, asset prices, and risk appetite, has garnered significant attention from the recent international finance literature, market practitioners, and policymakers. This study employs a Dynamic Conditional Correlation (DCC) Copula model to examine the interaction between exchange rates for a group of seven developed economies and seventeen emerging market economies. Using these results and employing quantile panel data methods, we assess how the time-varying correlations of exchange rates behave in relation
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Gómez, Camilo, Mariana Escobar-Villarraga, and Ligia Alba Melo-Becerra. Cross-Border Effects of Fed Capital Requirements on Emerging Market Banks’ Funding: The Colombian Case. Banco de la República, 2025. https://doi.org/10.32468/be.1321.

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This paper examines the impact of the Federal Reserve’s 2022 capital requirements on Colombian banks’ access to foreign credit lines. These measures, more stringent than in previous years, introduced a stronger stress capital buffer in response to global recession risks and inflationary pressures. A key contribution of the study is its distinction between the announcement, publication, and implementation phases of these regulations, highlighting how expectations, information flows, and uncertainty shape banks’ financial strategies. Using a Synthetic Difference-in-Differences (SDID) approach, t
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