Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach

In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize returns using Diebold Yilmaz spillover index approach compute value-at-risk. document that level of is higher than markets are more sensitive when market declines. also find specific periods (e.g., global financial crisis, European debt COVID-19 turmoil) intensified effects across Our results demonstrate DE, UK, EU, US acted as net transmitters dynamic connectedness; however, Japan, China, India, Hong Kong receivers during sample period. These findings provide significant new information to policymakers participants.