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Risk and Volatility Spillovers in Financial Markets
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Risk and Volatility Spillovers in Financial Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (30 November 2022) | Viewed by 4904

Special Issue Editor

Dr. Lee A. Smales

E-Mail Website
Guest Editor
UWA Business School, University of Western Australia, Perth, WA 6009, Australia
Interests: financial markets; market microstructure; behavioural finance; volatility

Special Issue Information

Dear Colleagues,

This Special Issue focuses on the broad topic of “Risk and Volatility Spillovers in Financial Markets”. Volatility modelling is a crucial requirement for derivative pricing, portfolio optimization, and risk management. This is particularly so in an age where markets are highly integrated, and a global pandemic has affected the price and volatility across a range of financial assets. Understanding the source and direction of volatility spillovers is an important input for policy-makers and regulators seeking to limit financial contagion, as well as investors pursuing optimal asset allocation.

In contributing to this discussion, papers submitted to this Special Issue will aid market participants in their planning around appropriate responses to major events. Contributions that focus on innovative financial instruments and novel market events are encouraged, as are methodologies that utilise parsimonious modelling techniques.

Dr. Lee A. Smales
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • financial markets
  • volatility modelling
  • volatility spillovers
  • risk management
  • contagion

Published Papers (2 papers)

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Research

19 pages, 2505 KiB  
Article
Connectedness between Sectors: The Case of the Polish Stock Market before and during COVID-19
by Viorica Chirilă
J. Risk Financial Manag. 2022, 15(8), 322; https://doi.org/10.3390/jrfm15080322 - 22 Jul 2022
Cited by 5 | Viewed by 2025
Abstract
This article studies the connectedness between economic sectors of the Polish stock market. The sectors that are considered are the following: banks, basic materials, chemicals, construction, developers, energy, food, and oil and gas. The analysis of the connectedness among sectors is conducted from [...] Read more.
This article studies the connectedness between economic sectors of the Polish stock market. The sectors that are considered are the following: banks, basic materials, chemicals, construction, developers, energy, food, and oil and gas. The analysis of the connectedness among sectors is conducted from a statistical and dynamic perspective. Using the time-varying parameter vector autoregression (TVP-VAR) method, the intensity, direction and variation of volatility spillover between the economic sectors are studied. Two samples are analysed, the first one being from 1 January 2013 to 12 December 2019, which corresponds to the period before the pandemic caused by COVID-19, and the second one being from 1 January 2020 to 2 December 2021, which corresponds to the period during the pandemic. A series of results are obtained. First, the connectedness between the economic sectors varies depends on the time. Second, the connectedness between the sectors was stronger during the crisis caused by the outbreak of COVID-19 rather than before the crisis. The volatility of each sector was also primarily due to their own volatility. Thirdly, the banking sector was the main sector with respect to volatility spillover. The results that are obtained are important for making the right decisions regarding financial stability under crisis circumstances, when considering development strategies for some economic sectors but also in portfolio management for performing diversification and risk-mitigation strategies. Full article
(This article belongs to the Special Issue Risk and Volatility Spillovers in Financial Markets)
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12 pages, 992 KiB  
Article
Volatility Spillovers among Cryptocurrencies
by Lee A. Smales
J. Risk Financial Manag. 2021, 14(10), 493; https://doi.org/10.3390/jrfm14100493 - 15 Oct 2021
Cited by 7 | Viewed by 2359
Abstract
The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that [...] Read more.
The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that conditional correlations are time-varying, peaking during the COVID-19 pandemic sell-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among cryptocurrencies. We find a bi-directional relationship for returns and long-term (GARCH) spillovers between BTC and ETH, but only a unidirectional short-term (ARCH) spillover effect from BTC to ETH. We also find spillovers from BTC and ETH to USDT, but no influence running in the other direction. Our results suggest that USDT does not currently play an important role in volatility transmission across cryptocurrency markets. We also demonstrate applications of our results to hedging and optimal portfolio construction. Full article
(This article belongs to the Special Issue Risk and Volatility Spillovers in Financial Markets)
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