Dynamic effects of network exposure on equity markets
We investigate the contribution of network exposure to both shock transmission and absorption. Our data sample comprises 45 economies for the period 1998–2018 to which we apply spatial econometric estimation technique. Our empirical findings show that both network intensity and interconnectedness in...
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| Veröffentlicht in: | Eurasian economic review 2022-12, Vol.12 (4), p.569-629 |
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| container_title | Eurasian economic review |
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| creator | Dungey, Mardi Kangogo, Moses Volkov, Vladimir |
| description | We investigate the contribution of network exposure to both shock transmission and absorption. Our data sample comprises 45 economies for the period 1998–2018 to which we apply spatial econometric estimation technique. Our empirical findings show that both network intensity and interconnectedness in the financial system have impact on increasing network exposure. We also demonstrate how to estimate network intensity in the financial system. Our results indicate that an increased network intensity parameter is associated to period when the financial system is under stress. The results show high exposure of the financial system to vulnerabilities. The results suggest the changing market conditions increase the exposures to the financial system. Thus, effective ways to monitor the financial system should be implemented by the policy makers to reduce the chances of financial instabilities. |
| doi_str_mv | 10.1007/s40822-022-00210-y |
| format | Article |
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| subjects | Absorption Connectedness Economics Economics and Finance Financial systems Original Paper Policy making |
| title | Dynamic effects of network exposure on equity markets |
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