Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era: New evidence from the VARX-DCC-MEGARCH model

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, Shanghai Composite Index. discovered that current daytime returns transmission from FTSE 100, 225 index ensuing overnight of 500 was inconsequential during stable period. The study also quantified shocks befallen in partake bidirectional negative ties occurred subsequent day-wise 30 index. Moreover, crises, only composite spillovers volatility 100 revealed a leverage effect for return