Complex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Markets



Korkusuz B, McMillan D & Kambouroudis D (2022) Complex Network Analysis of Volatility Spillovers between Global Financial Indicators and G20 Stock Markets. Empirical Economics.

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory. Specifically, we construct a volatility network of international financial markets utilising the spatial connectedness of spillovers (consisting of nodes and edges). The findings show that spillover relations between global variables and G20 markets varies significantly across five identified sub-periods. Notably, networks are much denser in crisis periods compared to non-crisis periods. In comparing two crisis periods, Global Financial Crisis (2008) and Covid-19 Crisis (2020) periods, the network statistics suggest that volatility spillovers in the latter period are more transitive and intense than the former. This suggests that financial volatility spreads more rapidly and directly through key financial indicators to the G20 stock markets. For example, oil and bonds are the largest volatility senders, while the markets of Saudi Arabia, Russia, South Africa, and Brazil are the main volatility receivers. In the former crisis, the source of financial volatility concentrates primarily in the US, Australia, Canada, and Saudi Arabia, which are the largest volatility senders and receivers. China emerges as generally the least sensitive market to external volatility.

Volatility spillover; GARCH-BEKK; Complex network theory; Global financial indicators; G20 stock markets

Empirical Economics

StatusIn Press
Publication date online10/09/2022
Date accepted by journal21/07/2022

People (2)


Dr Dimos S Kambouroudis

Dr Dimos S Kambouroudis

Senior Lecturer, Accounting & Finance

Professor David McMillan

Professor David McMillan

Professor in Finance, Accounting & Finance