... their impact mechanisms. Design/methodology/approach Previous research mainly employed the Diebold and Yilmaz (DY) (2012) connectedness model to construct connectedness networks and measure spillovers. However, this approach only captures linear relationships and faces the “curse of dimensionality...

...David Yechiam Aharon; Shoaib Ali Purpose The purpose of this study is to explore the connectedness of the economic policy uncertainty indices of 22 developed and emerging countries with the goal of determining the main transmitters and absorbers of economic uncertainty policy shocks. Design...

... affected the GCC stock markets, forcing investment managers and investors to diversify their GCC stocks to minimize vulnerability (Hemche et al., 2016 ; Karanasos et al., 2014). Connectedness Islamic stock Conventional stock TVP-VAR GCC © Emerald Publishing Limited 2024...

... the first to systematically investigate the dynamic connectedness of these emerging economies during the pandemic using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach. Design/methodology/approach We categorise our data into two distinct periods: the pre-Covid period spanning from...

..., this study examines the spillover connection between global uncertainty indices (GUIs) and leading sectoral indices of 28 emerging markets. Design/methodology/approach The authors employ the quantile spillover-based connectedness approach and minimum connectedness portfolio approach to explore...

...Muhammad Akram; Ahmed Imran Hunjra; Imran Riaz Malik; Mamdouh Abdulaziz Saleh Al-Faryan Purpose Internationalization and financial deregulation have caused market participants and policymakers to consider the significance of financial connectedness and the spillover effects of shocks...

... and volatility spillover is estimated using Diebold and Yilmaz (2012, 2014) approach. Findings The results reveal the weak connectedness between agricultural commodities and emerging stock markets. Corn and sugar are the highest and lowest transmitters, respectively, whereas soya bean and coffee...

... the authors propose a novel conceptual framework for building a financial uncertainty index by combining the approach of Jurado et al. (2015) and the time-varying connectedness network approach proposed by Antonakakis et al. (2020) Hedi Ben Haddad can be contacted at: hhalhaddad...