Table 1 Summary of asymmetric connectedness studies
From: Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness
Study | Market (s) | Data period | Results |
|---|---|---|---|
Baruník et al. (2017) | Seven most liquid US sectors | August 2004-December 2011 | Evidence of asymmetry for US sectors |
Chen et al. (2019) | Chinese stock market sectors | July 2007-June 2016 | Domination of bad volatility |
Ten sectors in the Chinese equity market | January 2005- May 2020 | Domination of bad volatility | |
Suleman et al. (2021) | Dow Jones Islamic Market Index (DJIM) and the Brent crude oil, gold, and silver markets | 4 January 2010- 30 November 2020 | Domination of bad volatility |
Cao et al. (2022) | Fifteen financial variables from Chinese financial system and global financial markets | 7 August 2015–30 September 2020 | Domination of bad volatility |
Mensi et al. (2022) | The spot prices of West Texas Intermediate crude oil and six major currencies | 2 June 2011- 26 June 2021 | Domination of bad volatility |
Abdullah et al. (2023) | Halal tourism stocks, green stocks, cryptocurrency, gold, and oil | 2018M12–2022M09 | Time varying and highly event dependent asymmetry among variables |
Alshater et al. (2023) | IT sectors of 13 countries | 15 January 2016–24 June, 2022 | Strong negative spillovers regardless of frequency |