Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents

Fountas, Stilianos; Kontana, Dimitra; Tzika, Evi

doi:10.1007/s00181-024-02614-y

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Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents

Stilianos Fountas

, Dimitra Kontana, Evi Tzika

Empirical Economics, Volume: 67, Pages: 1891 - 1918

Swansea University Author: Evi Tzika

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Author accepted manuscript document released under the terms of a Creative Commons CC-BY licence using the Swansea University Research Publications Policy (rights retention).
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DOI (Published version): 10.1007/s00181-024-02614-y

Abstract

This paper focuses on financial asset return spillovers and economic policy uncertainty spillovers in three continents (Europe, America, and Asia) in the last few decades. We examine three financial asset markets (stock, bond, and foreign exchange). Spillovers are measured using the Diebold–Yilmaz s...

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Published in:	Empirical Economics
ISSN:	0377-7332 1435-8921
Published:	Springer Science and Business Media LLC 2024
Online Access:	Check full text
URI:	https://cronfa.swan.ac.uk/Record/cronfa66878
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spelling	v2 66878 2024-06-24 Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents 4116c447150cf4847dd56dc62328ff09 Evi Tzika Evi Tzika true false 2024-06-24 SOSS This paper focuses on financial asset return spillovers and economic policy uncertainty spillovers in three continents (Europe, America, and Asia) in the last few decades. We examine three financial asset markets (stock, bond, and foreign exchange). Spillovers are measured using the Diebold–Yilmaz spillover index. In the first part, we measure the size of spillovers and find a significant increase in spillovers during the global financial crisis, the European sovereign crisis, and the recent pandemic. In the second part, we test for the effect of uncertainty spillovers on financial asset return spillovers. Using rolling impulse response functions, we obtain the following results: First, the responses of financial markets spillovers to uncertainty spillovers are time-varying and aremostly positive. Second, the highest responses in financial market return spillovers to uncertainty spillovers occur in America and the smallest responses in financial market return spillovers occur in Europe. Third, among the three financial markets, thehighest responses apply to the foreign exchange market. Finally, the largest responses during the pandemic apply in Europe. Journal Article Empirical Economics 67 1891 1918 Springer Science and Business Media LLC 0377-7332 1435-8921 Economic policy uncertainty, rolling impulse responses, uncertainty spillovers, financial asset market return spillovers 1 11 2024 2024-11-01 10.1007/s00181-024-02614-y COLLEGE NANME Social Sciences School COLLEGE CODE SOSS Swansea University Not Required This research is funded by the University of Macedonia Research Committee as part of the Principal Research 2021 funding program. 2024-11-01T14:28:43.8820258 2024-06-24T09:45:16.9517047 Faculty of Humanities and Social Sciences School of Social Sciences - Economics Stilianos Fountas 0000-0003-4188-9777 1 Dimitra Kontana 2 Evi Tzika 3 66878__30731__f71d2c831277436f9847c9b103aee8b7.pdf Fountas et al. 2024 accepted manuscript - Empirical Economics.pdf 2024-06-24T09:57:54.7921880 Output 2285394 application/pdf Accepted Manuscript true Author accepted manuscript document released under the terms of a Creative Commons CC-BY licence using the Swansea University Research Publications Policy (rights retention). true eng https://creativecommons.org/licenses/by/4.0/deed.en
title	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
spellingShingle	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents Evi Tzika
title_short	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
title_full	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
title_fullStr	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
title_full_unstemmed	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
title_sort	Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
author_id_str_mv	4116c447150cf4847dd56dc62328ff09
author_id_fullname_str_mv	4116c447150cf4847dd56dc62328ff09_***_Evi Tzika
author	Evi Tzika
author2	Stilianos Fountas Dimitra Kontana Evi Tzika
format	Journal article
container_title	Empirical Economics
container_volume	67
container_start_page	1891
publishDate	2024
institution	Swansea University
issn	0377-7332 1435-8921
doi_str_mv	10.1007/s00181-024-02614-y
publisher	Springer Science and Business Media LLC
college_str	Faculty of Humanities and Social Sciences
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hierarchy_top_title	Faculty of Humanities and Social Sciences
hierarchy_parent_id	facultyofhumanitiesandsocialsciences
hierarchy_parent_title	Faculty of Humanities and Social Sciences
department_str	School of Social Sciences - Economics{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Social Sciences - Economics
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description	This paper focuses on financial asset return spillovers and economic policy uncertainty spillovers in three continents (Europe, America, and Asia) in the last few decades. We examine three financial asset markets (stock, bond, and foreign exchange). Spillovers are measured using the Diebold–Yilmaz spillover index. In the first part, we measure the size of spillovers and find a significant increase in spillovers during the global financial crisis, the European sovereign crisis, and the recent pandemic. In the second part, we test for the effect of uncertainty spillovers on financial asset return spillovers. Using rolling impulse response functions, we obtain the following results: First, the responses of financial markets spillovers to uncertainty spillovers are time-varying and aremostly positive. Second, the highest responses in financial market return spillovers to uncertainty spillovers occur in America and the smallest responses in financial market return spillovers occur in Europe. Third, among the three financial markets, thehighest responses apply to the foreign exchange market. Finally, the largest responses during the pandemic apply in Europe.
published_date	2024-11-01T14:28:41Z
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Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents

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