Search results

The study analyzes return spillovers among key financial markets, including equity indices (NIFTY50, NIKKEI225, KOSPI, ASX200, Shanghai-Composite and Hang-Seng), exchange rates (USD-INR, USD-YEN, USD-WON, USD-AUD and USD-RNMB) and Brent crude oil prices (Brent) in the Asia-Pacific region as well as the NASDAQ index from the US market.

This study utilizes the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach to analyze the return spillovers in the Asia-Pacific region covering the period from March 2, 2005 to February 29, 2024.

The findings reveal that NASDAQ and NIFTY50R are significant transmitters of financial shocks, exerting a strong influence on other markets. In contrast, the Shanghai Composite Index and the South Korean Won act as net receivers, indicating their vulnerability to external influences. The interconnectedness between Brent crude oil prices and regional financial markets underscores the impact of global commodity price fluctuations on the financial stability of energy-dependent economies.

The study shows heightened interconnectedness during global financial crises, suggesting that market shocks can propagate more intensely across interconnected systems during such periods. These insights contribute to a better understanding of financial spillovers and highlight the need for effective risk management and policy coordination in the Asia-Pacific region.

The TVP-VAR connectedness approach is deployed to analyze return spillovers among key financial markets, including equity indices, exchange rates and Brent crude oil prices in the Asia-Pacific region as well as the NASDAQ index from the US market.

• (1)

  We analyze return spillovers among key financial markets indicators in the Asia-Pacific region.

• (2)

  The analysis covers the period from March 2, 2005, to February 29, 2024.

• (3)

  The findings reveal that NASDAQ and NIFTY50R are significant transmitters of financial shocks, exerting a strong influence on other markets.

• (4)

  The study shows heightened interconnectedness during global financial crises, suggesting that market shocks can propagate more intensely across interconnected systems during the study periods.

• (5)

  We find a better understanding of financial spillovers and highlight the need for effective risk management and policy coordination in the Asia-Pacific region.

We analyze return spillovers among key financial markets indicators in the Asia-Pacific region.

The analysis covers the period from March 2, 2005, to February 29, 2024.

The findings reveal that NASDAQ and NIFTY50R are significant transmitters of financial shocks, exerting a strong influence on other markets.

The study shows heightened interconnectedness during global financial crises, suggesting that market shocks can propagate more intensely across interconnected systems during the study periods.

We find a better understanding of financial spillovers and highlight the need for effective risk management and policy coordination in the Asia-Pacific region.

The paper analyzes the volatility transmission within the cotton markets by utilizing commodity futures prices from the USA, China and India, encompassing important global events that have significantly influenced the global cotton markets, like the China-USA trade dispute, the COVID-19 outbreak and the Russia–Ukraine conflict.

The authors employ a volatility spillover measure developed by Diebold and Yilmaz (2009, 2012, 2014). Additionally, the methodology proposed by Baruník and Křehlík (2018), which divides the overall volatility spillover into short, medium and long-term segments has been used. To investigate the volatility connectedness, weekly (close-to-close) returns of the cotton futures contracts that are traded on the Chicago Board of Trade Dalian Commodity Exchange National Commodity Exchange of India (NCDEX), and Multi Commodity Exchange (MCX) are considered.

The paper identifies the presence of long-term volatility transmission among the three cotton futures markets. It demonstrates that a global shock like the Russia–Ukraine conflict has a greater impact on volatility in other markets than USA–China trade disputes. It also highlights the weakening role of the US cotton futures markets as a price leader for Indian and Chinese markets.

Since only three major markets have been studied, the future studies can explore the interconnectedness by including other important markets including Brazil, Turkey, Bangladesh, etc. Further, the moderating role of relationship between other important variables such as cotton production, harvest, inventory, exchange rate, oil price, trade policies, etc. can be examined. Furthermore, the interconnectedness with the regional spot markets in India can also be examined to study how the volatility from the futures market can affect the volatility in the spot markets and vice-versa.

The understanding of domestic food price volatility and its transmission from international to domestic markets is crucial for designing effective policies to address excessive volatility and protect vulnerable groups like producers, consumers, etc.

The findings emphasize on the substantial market dependence with the US and the Chinese markets which have a significant impact on the Indian markets with considerable implications for hedgers, producers and exporters, particularly during periods of higher volatility.

This study assesses the interdependencies among three major cotton-producing countries and the influence of factors like the USA–China trade tensions in 2018, the COVID-19 crisis and the Russia–Ukraine conflict in order to gauge the degree of volatility interconnection among these key players in the cotton market.