Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach

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dc.citation.issuePart B
dc.citation.volume93
dc.contributor.authorDang THN
dc.contributor.authorBalli F
dc.contributor.authorBalli HO
dc.contributor.authorGabauer D
dc.contributor.authorNguyen TTH
dc.date.accessioned2024-06-05T02:26:46Z
dc.date.available2024-06-05T02:26:46Z
dc.date.issued2024-06
dc.description.abstractThis study investigates the sectoral expected uncertainty connectedness in emerging markets across different frequencies and quantiles using the novel quantile time–frequency connectedness approach of Chatziantoniou et al. (2022a). The employed dataset spans from January 1st, 2003 to October 4th, 2022, encompassing 10 key sectors. The findings reveal a robust and notable interconnection among these sectors, with a substantial total connectedness index of 91.01%. We also note that the largest proportion of the sectoral total connectedness is associated with long-term spillovers. Consumer Cyclicals emerges as the primary source of net risk transmission. Conversely, the Communications & Networking and Healthcare appear to be the greatest net receivers of shocks at the median level. Furthermore, we find that the degree of interconnectedness substantially varies over time, frequency, and quantile, and by economic events. In addition, we find suggestive evidence of asymmetric sectoral uncertainty connectedness effects as the uncertainty spillovers are higher during turbulent market conditions than normal market conditions. A positive relationship between uncertainty measures and sectoral connectedness is also observed during periods of smooth and normal market conditions. Besides, we also conduct different portfolio analyses illustrating the importance of risk diversification to reduce investment uncertainty. This has important implications for international investors and policymakers in forming optimal investment portfolios reducing adverse risk spillovers.
dc.description.confidentialfalse
dc.edition.editionJune 2024
dc.format.pagination121-139
dc.identifier.citationDang THN, Balli F, Balli HO, Gabauer D, Nguyen TTH. (2024). Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach. International Review of Economics and Finance. 93. Part B. (pp. 121-139).
dc.identifier.doi10.1016/j.iref.2024.04.017
dc.identifier.eissn1873-8036
dc.identifier.elements-typejournal-article
dc.identifier.issn1059-0560
dc.identifier.piiS1059056024002703
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/69733
dc.languageEnglish
dc.publisherElsevier Inc
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S1059056024002703
dc.relation.isPartOfInternational Review of Economics and Finance
dc.rights(c) The author/sen
dc.rights.licenseCC BYen
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en
dc.subjectQuantile time–frequency connectedness
dc.subjectEmerging markets
dc.subjectSectoral spillover
dc.subjectExpected uncertainty transmission
dc.subjectPortfolio analysis
dc.titleSectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
dc.typeJournal article
pubs.elements-id488423
pubs.organisational-groupOther
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