Dynamic connectedness among regional FinTech indices in times of turbulences
This study examines the connectedness among several regional FinTech indices and analyses the impact of Russia’s invasion of Ukraine on the dynamic spillovers. We employ the time-varying parameter vector autoregression and time-frequency connectedness network approach using data spanning from 2 Sept...
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| Other Authors: | , , |
| Format: | article |
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2022
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| Online Access: | http://hdl.handle.net/10725/15000 https://doi.org/10.1080/13504851.2022.2141443 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.tandfonline.com/doi/full/10.1080/13504851.2022.2141443 |
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| Summary: | This study examines the connectedness among several regional FinTech indices and analyses the impact of Russia’s invasion of Ukraine on the dynamic spillovers. We employ the time-varying parameter vector autoregression and time-frequency connectedness network approach using data spanning from 2 September 2021 until 4 April 2022. We find that the returns and volatility spillovers among FinTech indices burst with the outbreak of the invasion. During this invasion, Asia-Pacific and Japan FinTech appeared to be the largest recipients of the spillovers. In contrast, Europe and North America FinTech appeared to be the largest transmitters of spillovers. The short-term effect among regional FinTech indices is stronger than the long-term relationship. |
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