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Volatility spillovers, structural breaks and uncertainty in technology sector markets
Landshypotek Bank, Sweden.
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Islamic Univ, Bangladesh.
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2023 (English)In: FINANCIAL INNOVATION, ISSN 2199-4730, Vol. 9, no 1, article id 106Article in journal (Refereed) Published
Abstract [en]

This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty. Our results suggest that structural breaks have diverse effects on financial asset connectedness and that the level of bond linkage increases when the trend breaks. We see a growing co-movement between the technology sector and major financial assets when uncertainty is considered. Overall, our findings indicate that the connectedness response varies depending on the type of uncertainty shock.

Place, publisher, year, edition, pages
SPRINGER , 2023. Vol. 9, no 1, article id 106
Keywords [en]
Technology sector; Diversification; Dynamic conditional correlation; Uncertainty; Structural breaks
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-198839DOI: 10.1186/s40854-023-00502-5ISI: 001079953500001OAI: oai:DiVA.org:liu-198839DiVA, id: diva2:1808759
Note

Funding Agencies|Ministry of Education of the Republic of Korea; National Research Foundation of Korea [NRF-2022S1A5A2A01038422]

Available from: 2023-11-01 Created: 2023-11-01 Last updated: 2023-11-01

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