Costa Antonio, Matos Paulo, da Silva Cristiano
CAEN Graduate School of Economics, Brazil.
UERN - University of State of Rio Grande do Norte Brazil.
Financ Res Lett. 2022 Mar;45:102124. doi: 10.1016/j.frl.2021.102124. Epub 2021 May 15.
We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors during the COVID-19 pandemic. Among several results, we find extraordinary increase in total connectedness, from early stages of international spread to the end of July 2020; some relevant changes in the pairwise connections between sectors, especially among the originally stronger ones. However, in a total net connectedness perspective, there is little evidence of structural changes.
我们使用2013年1月1日至2020年12月31日的日数据,研究了美国11个行业指数的波动连通性。我们采用了迪博尔德和伊尔马兹(2009年、2012年、2014年)的连通性测度方法,揭示了新冠疫情期间行业连通性的变化以及特定行业的典型事实。在诸多结果中,我们发现从国际传播的早期阶段到2020年7月底,总连通性大幅增加;各行业之间的两两关联发生了一些相关变化,尤其是在原本关联较强的行业之间。然而,从总净连通性的角度来看,几乎没有结构变化的证据。