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

Stilianos Fountas Orcid Logo, Dimitra Kontana, Evi Tzika

Empirical Economics, Pages: 1 - 28

Swansea University Author: Evi Tzika

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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
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URI: https://cronfa.swan.ac.uk/Record/cronfa66878
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first_indexed 2024-06-24T08:59:38Z
last_indexed 2024-06-24T08:59:38Z
id 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 1 28 Springer Science and Business Media LLC 0377-7332 1435-8921 economic policy uncertainty, rolling impulse responses, uncertainty spillovers, financial asset market return spillover 11 6 2024 2024-06-11 10.1007/s00181-024-02614-y http://dx.doi.org/10.1007/s00181-024-02614-y COLLEGE NANME Social Sciences School COLLEGE CODE SOSS Swansea University Other This research is funded by the University of Macedonia Research Committee as part of the Principal Research 2021 funding program. 2024-06-24T09:59:39.0446040 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
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_start_page 1
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
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
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
url http://dx.doi.org/10.1007/s00181-024-02614-y
document_store_str 0
active_str 0
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 2024-06-11T09:59:38Z
_version_ 1802732388795547648
score 11.012678

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