Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective

doi:10.1016/j.irfa.2018.10.008

	Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective
	Sun, Xiaolei; Wang, Jun; Yao, Yanzhen; Li, Jingyu; Li, Jianping
刊名	INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
	2020
卷号	68
DOI	10.1016/j.irfa.2018.10.008
英文摘要	In the wake of the globalization of financial markets, studying spillovers among different asset markets, especially spillovers that include sovereign CDS markets, is of vital importance. This paper attempts to build a spillover network to investigate the complex interactions within the system of sovereign CDS, stock and commodity markets by adopting the spillover index based on forecast error variance (FEV) decomposition. The results reveal that emerging countries have larger average spillovers than developed countries with regard to sovereign CDS-to-stock returns spillovers, while the developed countries contribute more average spillovers than the emerging countries in the opposite direction. Moreover, the sovereign CDS market and the commodity market still demonstrate a relatively important role during certain periods although stock markets always occupy the dominant position during every phase. Our findings provide new insights into spillovers among the major global asset markets using a network perspective, which is valuable for regulation of financial markets, asset allocation and portfolio risk management.
语种	英语
内容类型	期刊论文
源URL	[http://ir.casisd.cn/handle/190111/9790]
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Sun, Xiaolei,Wang, Jun,Yao, Yanzhen,et al. Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,2020,68.
APA	Sun, Xiaolei,Wang, Jun,Yao, Yanzhen,Li, Jingyu,&Li, Jianping.(2020).Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective.INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,68.
MLA	Sun, Xiaolei,et al."Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective".INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 68(2020).