Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants

Author:

Aljarba Shumok1,Naifar Nader2ORCID,Almeshal Khalid3

Affiliation:

1. Department of Finance, College of Business Administration, King Saud University, P.O. Box 12371, Riyadh 11451, Saudi Arabia

2. Department of Finance, College of Business, Imam Mohammad Ibn Saud Islamic University (IMSIU), P.O. Box 5701, Riyadh 11564, Saudi Arabia

3. Department of Economics, College of Business, Imam Mohammad Ibn Saud Islamic University (IMSIU), P.O. Box 5701, Riyadh 11564, Saudi Arabia

Abstract

This paper aims to investigate the volatility spillovers among selected emerging economies’ sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the time-domain and the frequency-domain connectedness approaches.Empirical results show that (i) Indonesia, followed by China and Mexico, are the main transmitters of sovereign credit risk volatility. (ii) Among global factors, the volatility index (VIX), economic policy uncertainty (EPU), and global political risk (GPR) positively impacted spillover on lower and higher quantiles. The results offer critical insights for international investors, policymakers, and researchers, emphasizing the importance of risk-aware investment strategies and cautious policy formulation in the context of financial crises and political events.

Publisher

MDPI AG

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3