Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 13, 2023 erstellt
Description:
This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-Square (R2) connectedness framework combining the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed daily dataset covers the 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, pairwise R2 decomposed connectedness measures with respect to different crisis periods and dynamic net total directional connectedness measures are discussed. Finally, a battery of robustness checks is conducted to illustrate the reliability of the retrieved findings