... Structural equations System-wide connectedness Systemic risk C32 C51 C58 E44 F31 G15 Funding: The authors received no specific funding for this work. The seminal work of King and Wadhwani (1990) argues that shocks transmit in stock markets because rational agents infer...

... C51 G14 It is well known that stock price changes are not continuous due to periodic market closures. A day return (close-to-close) can be divided into overnight (close-to-open) return and daytime (open-to-close) return. The daytime period (trading period) is short but trading activities...