Dynamic connectedness among regional FinTech indices in times of turbulences

Alshater, Muneer M.; Polat, Onur; El Khoury, Rim; Yoon, Seong-Min

Dynamic connectedness among regional FinTech indices in times of turbulences

Alshater, Muneer M.; Polat, Onur; El Khoury, Rim; Yoon, Seong-Min

URI: http://hdl.handle.net/10725/15000

URL: https://www.tandfonline.com/doi/full/10.1080/13504851.2022.2141443

DOI: https://doi.org/10.1080/13504851.2022.2141443

Date: 2022-11-03

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Abstract:

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.

Citation:

Alshater, M. M., Polat, O., El Khoury, R., & Yoon, S. M. (2022). Dynamic connectedness among regional FinTech indices in times of turbulences. Applied Economics Letters, 1-6.

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