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Journal articles on the topic 'Financial Market Interconnectedness'

Author: Grafiati

Published: 2 June 2025

Last updated: 31 July 2025

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1

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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2

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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3

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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4

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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5

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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8

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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10

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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11

Sun, Ariel J., and Jorge A. Chan-Lau. "Financial networks and interconnectedness in an advanced emerging market economy." Quantitative Finance 17, no. 12 (2017): 1833–58. http://dx.doi.org/10.1080/14697688.2017.1357976.

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12

Kumar, Pankaj, and Dr Rupinder Katoch. "Interconnected Markets: How Energy, Green Finance, and APEC ‎Equities Drive Global Volatility." International Journal of Accounting and Economics Studies 12, no. 3 (2025): 140–53. https://doi.org/10.14419/j89zk395.

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This study explores the evolving interconnectedness among energy markets (Crude Oil, ‎Natural Gas, Heating Oil, GRNSOLAR, GRNWIND, and GRNBIO), gold, technology ‎‎(NDXT), green bonds, and equity markets within APEC economies (S&P 500, TSX, ‎NIKKEI 225, ASX 200, NZX 50, SSEC, SETI, MOEX, KOSPI, and TWII) from January ‎‎2014 to May 2024. Using a time-varying parameter vector autoregressive (TVP-VAR) model, ‎the research unveils dynamic cross-market relationships, with a Total Averaged ‎Connectedness Index (TACI) of 60.68%. This indicates that nearly 60% of forecast error ‎variance originates

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Fefelov, D. L., E. M. Rogova, and D. B. Vuković. "Assessing the financial interconnectedness between China and Russia: A dynamic approach." Journal of the New Economic Association, no. 2(67) (June 23, 2025): 110–37. https://doi.org/10.31737/22212264_2025_2_110-137.

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Our study investigates the dynamic connectedness and volatility spillovers between China and Russia, focusing on their economic and financial market interactions from 2009 to 2023. Utilizing a Time-Varying Parameter Vector Autoregression (TVP–VAR) and the LASSO models, we examine how bilateral trade influences financial markets, including stock indices, bond yields, and liquidity measures. We discover a moderate positive correlation between Chinese exports to Russia and the performance of Russian fi nancial markets, highlighting a still nascent, but growing role of trade structures. The result

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14

Li, Tianyou, Yanbing Ju, and Peiwu Dong. "Investigating the interconnectedness of carbon, fossil energy, and financial markets: A dynamic spillover index approach." PLOS ONE 18, no. 12 (2023): e0295363. http://dx.doi.org/10.1371/journal.pone.0295363.

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Against the background of the global active pursuit of carbon neutrality, this paper uses the DY spillover index method to analyze the spillover network effects between carbon, fossil energy and financial markets. The research results show that the spillover effects between these three markets change over time, with an average spillover index of 25.30%, showing a significant mutual influence. Further analysis found that the EU carbon market plays an important role in spillover effects. Especially under the influence of extreme events, the spillover effects reach their peak. At this time, the d

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15

Ahelegbey, Daniel Felix. "Statistical Modelling of Downside Risk Spillovers." FinTech 1, no. 2 (2022): 125–34. http://dx.doi.org/10.3390/fintech1020009.

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We study the sensitivity of stock returns to the tail risk of major equity market indices, including the G10 countries. We model the sensitivity relationship via extreme downside hedging and estimate the parameters via a Bayesian graph structural learning method. The empirical application examines whether downside risk connections among the major stock markets are merely anecdotal or provide a signal of contagion and the nature of sensitivity among major equity markets during the global financial crisis and the coronavirus pandemic. The result showed that the COVID-19 crisis recorded the histo

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16

Maharana, Narayana, Ashok Kumar Panigrahi, and Suman Kalyan Chaudhury. "Volatility Persistence and Spillover Effects of Indian Market in the Global Economy: A Pre- and Post-Pandemic Analysis Using VAR-BEKK-GARCH Model." Journal of Risk and Financial Management 17, no. 7 (2024): 294. http://dx.doi.org/10.3390/jrfm17070294.

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This study examines how the COVID-19 pandemic impacted stock market volatility and interconnectedness between India and other selected global economies. The analysis, using data from 2016 to 2024, reveals a substantial rise in volatility within both the Indian market and those of several other countries after the pandemic. Interestingly, the volatility transmission patterns also changed. While the Indian market’s volatility significantly influenced Brazil, China, and Mexico throughout the entire period, the influence of the US market became negligible post-pandemic. In contrast, Russia exhibit

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17

Katusiime, Lorna. "Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda." Economies 7, no. 1 (2018): 1. http://dx.doi.org/10.3390/economies7010001.

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This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability: the nominal Uganda shilling per United States dollar (UGX/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlat

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18

Astaíza-Gómez, José Gabriel. "Uncertainty, Risk, and Opaque Stock Markets." International Journal of Financial Studies 13, no. 1 (2025): 35. https://doi.org/10.3390/ijfs13010035.

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This study examined how uncertainty and global risk affect financial markets in emerging economies, focusing on foreign investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU) significantly reduce foreign net buys, more than global market volatility (VIX). While global volatility drives CDS spreads, these spreads influence exchange rates, causing currency depreciation. The findings highlight the interconne

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19

Wang, Tao, Joohan Ryoo, and Wei Ding. "Exploring the Transmission of Market Volatility between the US and Mainland China Stock Markets." Frontiers in Business, Economics and Management 11, no. 2 (2023): 65–74. http://dx.doi.org/10.54097/fbem.v11i2.12560.

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This study investigates the transmission of market volatility between the United States and Mainland China stock markets, particularly in the context of extreme events like the 2007 subprime mortgage crisis and the 2020 COVID-19 pandemic. It underscores the increasing interdependence between these markets and the role of government intervention and regulation in shaping their development. This research offers valuable insights for stakeholders, including regulators, policymakers, and investors, as they navigate the complex landscape of systemic financial risks arising from the interconnectedne

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20

BENEDEK, Botond. "Romanian Stock Market Integration with Europe: A Covid-19 Perspective." SEA - Practical Application of Science XIII, no. 38 (2025): 113–21. https://doi.org/10.70147/s38113121.

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Understanding the interconnectedness of financial markets is essential for assessing market efficiency, risk transmission, and financial integration, particularly in the context of global shocks. While the COVID-19 pandemic has prompted numerous empirical investigations into international stock market co-movements, important gaps remain regarding the integration between developed and emerging European markets. This study explores the degree of integration between the Romanian stock market and major developed Western European markets, with a particular emphasis on Germany, Romania’s largest tra

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21

Cvetković, Milica, Maja Cogoljević, and Marija Ranđelović. "The impact of economic development on the efficiency of the financial sector." Ekonomika 67, no. 3 (2021): 107–17. http://dx.doi.org/10.5937/ekonomika2103107c.

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A stable financial sector creates economic development. Speculative actions in financial markets cause disturbances and are an indicator of economic instability. The growth of a modern market economy more than two centuries ago is interconnected with the growth of the financial system. The averment that there is a connection between the growth of the financial and real sectors of the economy is as old as economics science. A developed financial system encourages competition, expands the market, and increases the efficiency of financial institutions. The depth and the breadth of financial marke

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22

Chaouch, Anouar, and Salim Ben Sassi. "Interconnectedness of Stock Indices in African Economies Under Financial, Health, and Political Crises." Journal of Risk and Financial Management 18, no. 5 (2025): 238. https://doi.org/10.3390/jrfm18050238.

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This study examines the interconnectedness of African stock markets during three major global crises: the 2008 Global Financial Crisis (GFC), the COVID-19 pandemic, and the Russia–Ukraine conflict. We use daily stock index data from 2007 to 2023 for ten African countries and apply a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model. The results reveal that volatility connectedness among African markets intensified during all three crises, peaking during the COVID-19 pandemic followed by the 2008 GFC and the Russia–Ukraine conflict. Short-term connectedness consistently exceeded long

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23

Stanciu, Cristian Valeriu, and Andrei Cristian Spulbar. "Financial Integration of the European Union Financial Markets. A PCA Approach." Studies in Business and Economics 19, no. 3 (2024): 241–56. https://doi.org/10.2478/sbe-2024-0054.

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Abstract European stock markets are a complex and dynamic terrain, requiring sophisticated methods of analysis to understand their degree of interconnectedness and integration. The paper investigates the financial integration of European Union (EU) financial markets using a dynamic Principal Component Analysis (PCA) approach. By calculating the Financial Integration Index (FII) from daily stock market index returns and volatilities, we provide a comprehensive analysis of the integration trends over the past two decades across three distinct groups: the EU-27, the Eurozone, and the Non-Eurozone

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Sinha, Avik, Narasingha Das, Arshian Sharif, and Satish Kumar. "Assessing Time Varying Interconnectedness Between Clean Energy Market and Financial Stress in USA." American Business Review 28, no. 1 (2025): 93–102. https://doi.org/10.37625/28.1.93-102.

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This study examined the time-varying relationship of the USA’s clean energy stock market under the financial stress scenarios. We have employed the empirical mode decomposition-wavelet windowed cross-correlation technique to gauge interconnectivity. According to our study, the USA investors would not hedge clean energy stocks over the long term during severe financial stress.

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Mimanov, M. "THE EMERGENCE OF FIRST FINANCIAL CRISES IN EUROPE - A BRIEF HISTORICAL RETROSPECTIVE." Sciences of Europe, no. 157 (January 27, 2025): 20–21. https://doi.org/10.5281/zenodo.14744892.

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The Emergence of the First Financial Crises in Europe The financial sector, a cornerstone of modern economies, acts as a mediator between capital demand and supply, influencing economic growth and societal well-being. Historical financial crises highlight the interconnectedness of global markets, where shocks in one region propagate rapidly, as evidenced during the 2007 global financial crisis. The first recorded financial crisis, the "Tulip Mania," occurred in 17th-century Netherlands during its Golden Age, a period marked by economic prosperity and financial innovation. The Netherlands had b

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Calefariu Giol, Emilia, Oana Panazan, and Catalin Gheorghe. "Cyber, Geopolitical, and Financial Risks in Rare Earth Markets: Drivers of Market Volatility." Risks 13, no. 3 (2025): 46. https://doi.org/10.3390/risks13030046.

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This study examines the integrated impacts of cyberattacks, geopolitical, and financial market volatility on rare earth markets during the 2014–2024 period, using Time-Varying Parameter Vector Autoregression and wavelet analysis. By bridging critical gaps in the literature, this research provides a comprehensive framework for understanding the compounded effects of emerging risks on market dynamics. The analysis includes key market indices (SOLLIT, PICK, SPGSIN, GSPTXGM, MVREMXTR, and XME), alongside green energy prices, to capture cross-market dependencies. The findings reveal that financial

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Niyitegeka, Olivier, and Alexis Habiyaremye. "Financial Contagion between German and BRICS Stock Markets under Multiscale Scrutiny." Journal of Risk and Financial Management 17, no. 9 (2024): 413. http://dx.doi.org/10.3390/jrfm17090413.

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We employ wavelet analysis using the maximum overlap discrete wavelet transform (MODWT) to examine the return and volatility interconnectedness between the German equity market (a prominent representative of the Eurozone market) and the BRICS countries over the period 2005–2017. Specifically, we investigate the presence of the pure form of financial contagion in the stock markets of Brazil, Russia, India, China, and South Africa subsequent to the Eurozone Sovereign Debt Crisis (EZDC). Our results indicate the presence of financial contagion between the Eurozone equity market and its counterpar

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Altinoglu, Levent, and Joseph E. Stiglitz. "Collective Moral Hazard and the Interbank Market." Finance and Economics Discussion Series 2020, no. 098 (2020): 1–60. http://dx.doi.org/10.17016/feds.2020.098.

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The concentration of risk within financial system is considered to be a source of 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. We build a model of portfolio choice and endogenous contracts in which the government optimally intervenes during crises. By issuing financial claims to other institutions, relatively risky institutions endogenously become large and interconnected. This structure enables institutions to share the risk of systemic crisis in a privately optimal way,

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Dash, Gordon, Nina Kajiji, and Bruno G. Kamdem. "Asset Returns: Reimagining Generative ESG Indexes and Market Interconnectedness." Journal of Risk and Financial Management 17, no. 10 (2024): 463. http://dx.doi.org/10.3390/jrfm17100463.

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Financial economists have long studied factors related to risk premiums, pricing biases, and diversification impediments. This study examines the relationship between a firm’s commitment to environmental, social, and governance principles (ESGs) and asset market returns. We incorporate an algorithmic protocol to identify three nonobservable but pervasive E, S, and G time-series factors to meet the study’s objectives. The novel factors were tested for information content by constructing a six-factor Fama and French model following the imposition of the isolation and disentanglement algorithm. R

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Ullah, Mirzat, Kazi Sohag, Farrukh Nawaz, et al. "Impact of Oil Price Shocks on Crypto and Conventional Financial Assets during Financial Crises: Evidence from the Russian Financial Market." International Journal of Energy Economics and Policy 14, no. 4 (2024): 472–83. http://dx.doi.org/10.32479/ijeep.16374.

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This study offers a multidimensional solution to mitigate the risk raised due to oil price volatility for navigating investments within the Russian financial landscape. This study assesses spillover effects between crypto assets and traditional financial assets encompassing equities, bonds, precious metals, foreign currency reserves, and crude oil prices. It adopts a significant temporal perspective to assess the potential ramifications of various financial crises, including global health crises and regional conflicts, on oil prices. Utilizing a daily frequency dataset spanning from January 1,

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M, Anjali Jha. "Dynamic Topic Networks to Evaluate Systemic Risk in Financial Markets." Shanlax International Journal of Management 11, S1-Mar (2024): 209–14. http://dx.doi.org/10.34293/management.v11is1-mar.8108.

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The study proposes a Dynamic Topic Network (DTN) approach to assess systemic risk in financial markets, utilizing a combination of topic modeling and network analysis. By employing Latent Dirichlet Allocation (LDA) to analyze news articles, the study extracts topics that are then used to construct topic similarity networks over time. The results obtained highlight the interconnectedness of topics, allowing for the correlation of abnormal behaviors with volatility in financial markets. Using the 2015–2016 stock market selloff and the COVID-19 pandemic as case studies, the study demonstrates how

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Sha, Yilin. "The Role of Interconnectedness in the Financial Contagion of the Interbank of Germany in 2007." Advances in Economics, Management and Political Sciences 76, no. 1 (2024): 182–89. http://dx.doi.org/10.54254/2754-1169/76/20241830.

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The collapse of the US housing market, which had cascading effects and spread to interbank lending markets, was what sparked the German financial crisis in late 2007. In light of this, the purpose of this paper is to investigate how interconnection influenced interbank financial contagion in 2007. This paper followed the methodology of first outlining the case study, covering the causes and effects of the financial crisis, and then assessing the effects of interconnection on the contagion process; finally, recommendations for future policymakers were developed and evaluated. The main conclusio

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Xu, Chunhui. "The Spillover Effect of US Monetary Policy: A Literature Review." Advances in Economics, Management and Political Sciences 125, no. 1 (2024): 28–34. https://doi.org/10.54254/2754-1169/2024.17777.

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In an era of globalization, the interconnectedness of financial markets means that monetary policy decisions in one country, particularly the United States, can have significant global repercussions. This interconnectedness necessitates a deeper understanding of how US monetary policy influences economic conditions worldwide. This paper reviews the impact of US monetary policy through various channels on advanced and emerging countries differently. The research finds that US monetary policy involves an element of uncertainty. In advanced countries, this uncertainty primarily influences the ter

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Primambudi, Ganjar, Muhammad Rizky Siddiq, and Muhammad Revi Rafsanzani. "Bond and Sukuk Interconnectedness Analysis: A Comparative Study between GCC and MENA Countries Amidst Global Crises." Journal of Islamic Economic and Business Research 3, no. 2 (2023): 198–213. http://dx.doi.org/10.18196/jiebr.v3i2.207.

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This paper aims to analyze the interconnectedness between Bond and Sukuk markets in the Gulf Cooperation Council (GCC) and Middle East and North Africa (MENA) countries. This study utilized the TVP-VAR extended joint connectedness method. The observed period was from January 2020 to October 2023, encompassing significant global events such as the COVID-19 pandemic, the Russia-Ukraine war, and the Israeli-Palestinian war. The results show the interconnectedness of bond and sukuk markets in both regions by 73% (based on TCI). The Bond and Sukuk instruments in MENA act as transmitters, while Bond

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Hayu Anindita, Anggayasti, and Zaafri Ananto Husodo. "DETERMINATION OF SIFIs (SYSTEMATICALLY IMPORTANT FINANCIAL INSTITUTIONS) AMONG INDONESIAN BANKS USING NETWORK ANALYSIS APPROACH." Journal of Indonesian Applied Economics 7, no. 2 (2017): 146–71. http://dx.doi.org/10.21776/ub.jiae.2017.007.02.3.

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This study aims to measuring systemic risks using network analysis method to obtain the SIFI rating of Indonesian banks. The author analyzes the systemic risk implied in the Indonesian interbank network during the period from 2011 through 2015 based on various network measures such degree centrality and betweenness centrality. The main findings are as follows: First, interconnectedness in the interbank market is increasing. However, a different condition was significantly found in 2013, where the interconnectedness in the interbank market went downwards compared to the previous year. Second, t

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Zhang, Caiwei. "The Impact of the COVID-19 on the International Financial Market." Highlights in Business, Economics and Management 19 (November 2, 2023): 547–51. http://dx.doi.org/10.54097/hbem.v19i.11999.

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In early 2020, a rampant coronavirus posed a global health threat, endangering lives and economies. The pandemic struck a severe blow to the world's financial markets, exacerbating the vulnerabilities inherent in the interconnected global economy. Economic globalization facilitated swift cross-border transmission of financial risks. Beyond 2021, recurring waves of the pandemic continued to reshape the financial landscape. The ensuing dangers had varying impacts on global trade, currency and interest rate markets, and stocks, as outlined in this article. However, experts generally agree that wh

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Zhou, Shijie. "Financial Innovation and Market Transformation in the Age of Digital Finance." Transactions on Economics, Business and Management Research 6 (May 13, 2024): 118–27. http://dx.doi.org/10.62051/0g0y9488.

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This manuscript scrutinizes the profound transformation digital financial innovations have induced within traditional financial landscapes, positing a trajectory for forthcoming advancements. It delineates the transition from conventional to digital finance, emphasizing the instrumental role played by blockchain, cryptocurrencies, fintech breakthroughs, and artificial intelligence in the reconfiguration of financial services. The discourse elaborates on the enhancements in efficiency, inclusivity, and interconnectedness fostered by digital finance, concurrently navigating through the intricaci

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Hussain, Iqra, Nazakat Ali, Hafiz Bilal Ahmad, and Suhail Ashraf. "Volatility spillover effect between cryptocurrency and stock market using MGARCH Bekk model." Natural and Applied Sciences International Journal (NASIJ) 5, no. 2 (2024): 32–55. http://dx.doi.org/10.47264/idea.nasij/5.2.3.

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This paper explores the volatility spillover effects between the cryptocurrency market and the Pakistan Stock Exchange (PSX). Utilising data from January 1, 2019, to April 5, 2024, sourced from Investing and Yahoo Finance, the study employs the Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) BEKK model to assess the dynamic interactions between these markets. Stationarity tests confirmed the non-stationarity of time series data at their levels, which became stationary after first differencing, ensuring robust econometric analysis. The results indicate significan

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Prymostka, Liudmyla, Іryna Krasnova, Ganna Kulish, Andrii Nikitin, and Valentyna Shevaldina. "Modeling the segment interactions of Ukraine’s financial market." Investment Management and Financial Innovations 17, no. 2 (2020): 101–12. http://dx.doi.org/10.21511/imfi.17(2).2020.09.

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This study is devoted to assessing the level of individual segments interconnectedness within the financial market of Ukraine (FMU) and their dynamics in uncertain conditions. The methodology of the systematic approach is used to investigate the dynamic relationship between individual segments of the financial market of Ukraine, namely credit (deposit-credit) market, stock market (market of securities), government securities market, currency market, and interbank market. The study of financial market dynamics focuses on the description of the price indicators of individual market segments, whi

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Kumah, Seyram Pearl, David Adjei Abbam, Ransford Armah, and Evelyn Appiah-Kubi. "African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic." Journal of Research in Emerging Markets 3, no. 2 (2021): 60–70. http://dx.doi.org/10.30585/jrems.v3i2.635.

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The COVID-19 pandemic provides the first widespread bear market conditions since the inception of cryptocurrencies. We test the haven properties of cryptocurrencies for African stocks and commodity markets in a pandemic implementing the frequency domain spillover index. Data spans 11th August 2015 to 28th August 2020 at a daily frequency. Findings show weak interconnectedness across markets suggesting non-contagion risk and that cryptocurrency are safe havens for African stocks and commodity indices from the medium-term. We find the major transmitters of spillover effects across markets to be

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Hill, Jennifer G. "Regulatory Cooperation in Securities Market Regulation: Perspectives from Australia." European Company and Financial Law Review 17, no. 1 (2020): 11–34. http://dx.doi.org/10.1515/ecfr-2020-0003.

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The global financial crisis highlighted the interconnectedness of international financial markets and the risk of contagion it posed. The crisis also emphasized the importance of supranational regulation and regulatory cooperation to address that risk. Yet, although capital flows are global, securities regulation is not. As a 2019 report by IOSCO notes, the regulatory challenges revealed during the global financial crisis have by no means dissipated over the last decade. Lack of international standards, or differences in the way jurisdictions implement such standards, can often result in regul

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Alao, Adegbenga Ismaila, Olubukola Omolara Adebiyi, and Oluwaseun Oladeji Olaniyi. "The Interconnectedness of Earnings Management, Corporate Governance Failures, and Global Economic Stability: A Critical Examination of the Impact of Earnings Manipulation on Financial Crises and Investor Trust in Global Markets." Asian Journal of Economics, Business and Accounting 24, no. 11 (2024): 47–73. http://dx.doi.org/10.9734/ajeba/2024/v24i111542.

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This study critically examines the interconnectedness of earnings management, corporate governance failures, and their impact on global economic stability and investor trust. Focusing on the Enron (1993–1995) and Wirecard (2015–2019) scandals, the research identifies key financial and governance indicators that contributed to these collapses, including CEO duality, weak board oversight, and manipulated financial reporting. Data for the analysis were drawn from corporate financial reports, macroeconomic indicators sourced from the World Bank, and stock market data from MarketWatch. Financial ra

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Amin, Abdullah. "Impact USA Tariff Policy 2025 on Russian Stock Exchange by Mediating Role of Crypto Currency Volatility." Research Journal for Social Affairs 3, no. 5 (2025): 91–96. https://doi.org/10.71317/rjsa.003.05.0305.

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This study examines the mediating role of cryptocurrency volatility specifically Bitcoin in the relationship between the 2025 U.S. universal tariff policy and the volatility of the Russian stock market. By using the daily data from March 27 to April 21, 2025 and applying regression models, the research finds that while U.S. tariff shocks do not directly influence Russian stock market volatility, Bitcoin volatility significantly correlates with fluctuations in the RTS Index. These findings suggest that cryptocurrencies act as financial transmission channels during periods of global economic unc

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Vemić, Milan B. "On the Implied Wholeness Significance of International Financial Cooperatives and Credit Unions." International Journal of Corporate Finance and Accounting 9, no. 1 (2022): 1–17. http://dx.doi.org/10.4018/ijcfa.313041.

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The purpose of this paper is to analyze pre-COVID-19 performance indicators of international financial cooperatives and credit unions. By assuming a wholeness approach to cooperative development, new potentialities are suggested without jeopardizing the initial concept of non-financial cooperative entities. Researched is their internationalization and export endeavors based on data collected by the European Association of Cooperative Banks and the World Council of Credit Unions. The author draws conclusions on interconnectedness among financial cooperatives and credit unions with traditional c

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Lesame, Keagile, Elie Bouri, David Gabauer, and Rangan Gupta. "On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures." Entropy 23, no. 8 (2021): 1048. http://dx.doi.org/10.3390/e23081048.

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In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US R

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Amit, Sunil Bhardwaj, Sameer Gupta,. "Causal relation and volatility spillover between commodity market and equity market of India using VAR Granger Causality and BEKK-GARCH Model." European Economic Letters (EEL) 13, no. 5 (2024): 1829–39. http://dx.doi.org/10.52783/eel.v13i5.984.

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The financial markets play a discerning role in accentuating the growth of industry and commerce whereas, a volatile market has whopping reverberations on economic and financial stability of a country. The interconnectedness and reciprocity among the financial markets in economies are veraciously liable for the pricing of securities and provide investors, hedgers and speculators with copious opportunities for portfolio diversification. In this context, the study has been taken up to explore the relationship between the commodity and stock markets of India. The study has used the daily closing

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Özkür, Bünyamin, Doğan Uysal, and Can Karabiyik. "Currency Connectedness Between Developed and Emerging Markets: A TVP-VAR-Based Analysis." Izmir Democracy University Social Sciences Journal 8, no. 1 (2025): 77–98. https://doi.org/10.61127/idusos.1691742.

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This study examines currency connectedness between developed and emerging market economies from a dynamic perspective, aiming to fill a significant gap in the literature. While existing research predominantly focuses on developed economies, this study highlights the growing influence of emerging market currencies within the global financial system. The analysis employs currency indices—namely the U.S. Dollar Index (DXY), Euro Index (InvEUR), and Swiss Franc Index (CHF)—to represent developed markets, alongside the MSCI Emerging Markets Currency Index (MSCI EM) to capture emerging market dynami

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Benarous, A. M., I. T. Medeni, T. D. Medeni, and V. Ateş. "Blockchain Dynamic and Macroeconomic Impact on The Stock Market." Economics: the strategy and practice 19, no. 2 (2024): 58–69. http://dx.doi.org/10.51176/1997-9967-2024-2-58-69.

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This study sheds light on the achievements of digital financial technologies and blockchain technology in the stock market. This study aims to examine the relationship between blockchain technology and macroeconomic variables, as well as the impact these variables have on stock market performance. For this, authors used the methodology of correlation and regression analysis, analyzing data on cryptocurrencies, the stock market and key paper exchange rates. The study confirms a significant correlation between blockchain dynamics, particularly cryptocurrency price fluctuations, and stock market

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Ingalhalli, Varsha, and Prachi Kolamker. "Modelling volatility effects between stock, oil, gold and forex markets: Evidence from India." Investment Management and Financial Innovations 20, no. 2 (2023): 53–65. http://dx.doi.org/10.21511/imfi.20(2).2023.05.

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Although several studies on the integration of diverse stock markets have been conducted in the financial literature, most of them have focused on the integration and volatility spillovers across established stock markets. The present study explores the dynamics of integration and volatility spillover across gold, oil, forex, and stock markets during four significant events in India: the pre-changed government regime, the post-changed government regime, the post-Brexit referendum date, and the COVID era. Daily data from 2010 to 2022 is divided into four categories using the Chow test. This is

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Enow, Samuel Tabot. "Phase distribution and phase correlation: Evidence in international financial markets." International Journal of Business Ecosystem & Strategy (2687-2293) 7, no. 2 (2025): 244–49. https://doi.org/10.36096/ijbes.v7i2.795.

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The aim of this study was to investigate phase distribution and phase correlation dynamics across international financial markets to uncover cyclical patterns, synchronization, and contagion effects. The sample financial markets were the S&P 500, DAX, Nikkei 225, FTSE 100, Shanghai Composite, BSE Sensex with daily closing prices ranging from 2018–2023. Using the Hilbert-Huang Transform complemented by Phase Concentration Index, Kuiper tests, and Granger causality, the results reveal distinct phase clustering in the Shanghai and BSE Sensex. Developed markets exhibit lower volatility cluster

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