{"id":"https://openalex.org/W3113233311","doi":"https://doi.org/10.1155/2020/8872307","title":"Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach","display_name":"Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach","publication_year":2020,"publication_date":"2020-12-10","ids":{"openalex":"https://openalex.org/W3113233311","doi":"https://doi.org/10.1155/2020/8872307","mag":"3113233311"},"language":"en","primary_location":{"id":"doi:10.1155/2020/8872307","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2020/8872307","pdf_url":"https://downloads.hindawi.com/journals/complexity/2020/8872307.pdf","source":{"id":"https://openalex.org/S207319443","display_name":"Complexity","issn_l":"1076-2787","issn":["1076-2787","1099-0526"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Complexity","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://downloads.hindawi.com/journals/complexity/2020/8872307.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5006209869","display_name":"Shanglei Chai","orcid":"https://orcid.org/0000-0001-6647-5613"},"institutions":[{"id":"https://openalex.org/I28006308","display_name":"Shandong Normal University","ror":"https://ror.org/01wy3h363","country_code":"CN","type":"education","lineage":["https://openalex.org/I28006308"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Shanglei Chai","raw_affiliation_strings":["School of Business, Shandong Normal University, Jinan 250014, China"],"affiliations":[{"raw_affiliation_string":"School of Business, Shandong Normal University, Jinan 250014, China","institution_ids":["https://openalex.org/I28006308"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072282421","display_name":"Zhen Zhang","orcid":"https://orcid.org/0000-0002-6512-1458"},"institutions":[{"id":"https://openalex.org/I27357992","display_name":"Dalian University of Technology","ror":"https://ror.org/023hj5876","country_code":"CN","type":"education","lineage":["https://openalex.org/I27357992"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zhen Zhang","raw_affiliation_strings":["Institute of Systems Engineering, Dalian University of Technology, Dalian 116024, China"],"affiliations":[{"raw_affiliation_string":"Institute of Systems Engineering, Dalian University of Technology, Dalian 116024, China","institution_ids":["https://openalex.org/I27357992"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5011665018","display_name":"Mo Du","orcid":"https://orcid.org/0000-0003-0077-1537"},"institutions":[{"id":"https://openalex.org/I4210150411","display_name":"Shandong Youth University of Political Science","ror":"https://ror.org/04bwp4t29","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210150411"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Mo Du","raw_affiliation_strings":["School of Accounting, Shandong Youth University of Political Science, Jinan 250103, China"],"affiliations":[{"raw_affiliation_string":"School of Accounting, Shandong Youth University of Political Science, Jinan 250103, China","institution_ids":["https://openalex.org/I4210150411"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101561782","display_name":"Lei Jiang","orcid":"https://orcid.org/0000-0003-1478-3344"},"institutions":[{"id":"https://openalex.org/I90727586","display_name":"Zhejiang University of Finance and Economics","ror":"https://ror.org/055vj5234","country_code":"CN","type":"education","lineage":["https://openalex.org/I90727586"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Lei Jiang","raw_affiliation_strings":["School of Economics, Zhejiang University of Finance & Economics, Hangzhou 310018, China"],"affiliations":[{"raw_affiliation_string":"School of Economics, Zhejiang University of Finance & Economics, Hangzhou 310018, China","institution_ids":["https://openalex.org/I90727586"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5072282421"],"corresponding_institution_ids":["https://openalex.org/I27357992"],"apc_list":{"value":2300,"currency":"USD","value_usd":2300},"apc_paid":{"value":2300,"currency":"USD","value_usd":2300},"fwci":0.9164,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.87409901,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"2020","issue":null,"first_page":"1","last_page":"18"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9896000027656555,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9886000156402588,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/spillover-effect","display_name":"Spillover effect","score":0.7741137742996216},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6531921625137329},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5873119831085205},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5429543852806091},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5427700281143188},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.5335144996643066},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.508220911026001},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.39811962842941284},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1446610689163208},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.098101407289505}],"concepts":[{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.7741137742996216},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6531921625137329},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5873119831085205},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5429543852806091},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5427700281143188},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5335144996643066},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.508220911026001},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39811962842941284},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1446610689163208},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.098101407289505},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1155/2020/8872307","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2020/8872307","pdf_url":"https://downloads.hindawi.com/journals/complexity/2020/8872307.pdf","source":{"id":"https://openalex.org/S207319443","display_name":"Complexity","issn_l":"1076-2787","issn":["1076-2787","1099-0526"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Complexity","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:hin:complx:8872307","is_oa":false,"landing_page_url":"http://downloads.hindawi.com/journals/8503/2020/8872307.xml","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:03161414aad44613810dea9e5bb373aa","is_oa":true,"landing_page_url":"https://doaj.org/article/03161414aad44613810dea9e5bb373aa","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Complexity, Vol 2020 (2020)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1155/2020/8872307","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2020/8872307","pdf_url":"https://downloads.hindawi.com/journals/complexity/2020/8872307.pdf","source":{"id":"https://openalex.org/S207319443","display_name":"Complexity","issn_l":"1076-2787","issn":["1076-2787","1099-0526"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Complexity","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.550000011920929,"id":"https://metadata.un.org/sdg/17"}],"awards":[{"id":"https://openalex.org/G2087396116","display_name":null,"funder_award_id":"China","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2696157397","display_name":null,"funder_award_id":"ZR201","funder_id":"https://openalex.org/F4320324174","funder_display_name":"Natural Science Foundation of Shandong Province"},{"id":"https://openalex.org/G3317480652","display_name":null,"funder_award_id":"Science","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G391238517","display_name":null,"funder_award_id":", and","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4167920493","display_name":null,"funder_award_id":"71971039","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4779476625","display_name":null,"funder_award_id":"72003110","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G533593773","display_name":null,"funder_award_id":"72003110","funder_id":"https://openalex.org/F4320324174","funder_display_name":"Natural Science Foundation of Shandong Province"},{"id":"https://openalex.org/G5676174673","display_name":null,"funder_award_id":"ZR2016GQ03","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5874065865","display_name":null,"funder_award_id":"71704098","funder_id":"https://openalex.org/F4320324174","funder_display_name":"Natural Science Foundation of Shandong Province"},{"id":"https://openalex.org/G5994120800","display_name":null,"funder_award_id":"Natural","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6063607529","display_name":null,"funder_award_id":"71971039","funder_id":"https://openalex.org/F4320324174","funder_display_name":"Natural Science Foundation of Shandong Province"},{"id":"https://openalex.org/G6557250614","display_name":null,"funder_award_id":"ZR2016GQ03","funder_id":"https://openalex.org/F4320324174","funder_display_name":"Natural Science Foundation of Shandong Province"},{"id":"https://openalex.org/G8413579966","display_name":null,"funder_award_id":"71704098","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320324174","display_name":"Natural Science Foundation of Shandong Province","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3113233311.pdf","grobid_xml":"https://content.openalex.org/works/W3113233311.grobid-xml"},"referenced_works_count":76,"referenced_works":["https://openalex.org/W794548271","https://openalex.org/W871040644","https://openalex.org/W1539908885","https://openalex.org/W1564281234","https://openalex.org/W1727659491","https://openalex.org/W1733756577","https://openalex.org/W1881638244","https://openalex.org/W1978637569","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2014341469","https://openalex.org/W2024482563","https://openalex.org/W2036859656","https://openalex.org/W2039734130","https://openalex.org/W2047003317","https://openalex.org/W2050670459","https://openalex.org/W2062861253","https://openalex.org/W2066580768","https://openalex.org/W2075972602","https://openalex.org/W2078790260","https://openalex.org/W2087855982","https://openalex.org/W2097747115","https://openalex.org/W2110801480","https://openalex.org/W2117330494","https://openalex.org/W2123649031","https://openalex.org/W2126672753","https://openalex.org/W2158689233","https://openalex.org/W2191748751","https://openalex.org/W2210467829","https://openalex.org/W2286508185","https://openalex.org/W2291119068","https://openalex.org/W2335864684","https://openalex.org/W2474601267","https://openalex.org/W2530174677","https://openalex.org/W2597275872","https://openalex.org/W2624133778","https://openalex.org/W2744243836","https://openalex.org/W2754890080","https://openalex.org/W2768777564","https://openalex.org/W2771964243","https://openalex.org/W2772418197","https://openalex.org/W2792298789","https://openalex.org/W2799433450","https://openalex.org/W2799519329","https://openalex.org/W2801226713","https://openalex.org/W2844609738","https://openalex.org/W2907970702","https://openalex.org/W2921520997","https://openalex.org/W2950838466","https://openalex.org/W2954917362","https://openalex.org/W2963498152","https://openalex.org/W2964916303","https://openalex.org/W2969772545","https://openalex.org/W2971606004","https://openalex.org/W2983251871","https://openalex.org/W2988157328","https://openalex.org/W3001637972","https://openalex.org/W3003056400","https://openalex.org/W3022253700","https://openalex.org/W3025801336","https://openalex.org/W3035484674","https://openalex.org/W3037727199","https://openalex.org/W3041020092","https://openalex.org/W3047943986","https://openalex.org/W3072540861","https://openalex.org/W3084221171","https://openalex.org/W3105105145","https://openalex.org/W3121730365","https://openalex.org/W3121952473","https://openalex.org/W3122305236","https://openalex.org/W3122309686","https://openalex.org/W3123517458","https://openalex.org/W3125187097","https://openalex.org/W3125237652","https://openalex.org/W3125564657","https://openalex.org/W3125658025"],"related_works":["https://openalex.org/W3174705069","https://openalex.org/W2364548092","https://openalex.org/W2014368031","https://openalex.org/W2144168794","https://openalex.org/W3122379543","https://openalex.org/W2361421218","https://openalex.org/W2349149235","https://openalex.org/W3124536071","https://openalex.org/W2370669686","https://openalex.org/W2645942849"],"abstract_inverted_index":{"Financial":[0],"internationalization":[1],"leads":[2],"to":[3,51,149],"similar":[4,65,76],"fluctuations":[5],"and":[6,34,87,163,181],"spillover":[7,35,58,154],"effects":[8,59,155],"in":[9,16,156,177,184],"financial":[10,18,120,179],"markets":[11,28,63,74,142,180],"around":[12],"the":[13,31,90,97,106,119,126,139,164],"world,":[14],"resulting":[15],"cross-border":[17],"risks.":[19],"This":[20,170],"study":[21,171],"examines":[22],"comovements":[23,114,159],"across":[24],"G20":[25,61,72,140,185],"international":[26,178],"stock":[27,62,73,141,157],"while":[29],"considering":[30],"volatility":[32,77,94,150],"similarity":[33],"effects.":[36],"We":[37],"provide":[38],"a":[39,80],"new":[40],"approach":[41],"using":[42,79,96],"an":[43],"ICA-":[44],"(independent":[45],"component":[46],"analysis-)":[47],"based":[48],"ARMA-APARCH-M":[49,99],"model":[50],"shed":[52],"light":[53],"on":[54],"whether":[55],"there":[56],"are":[57,143,153],"among":[60],"with":[64,115],"dynamics.":[66],"Specifically,":[67],"we":[68],"first":[69],"identify":[70],"which":[71],"have":[75],"features":[78],"fuzzy":[81],"C-means":[82],"time":[83,121,128],"series":[84,122,129],"clustering":[85],"method":[86,108],"then":[88],"investigate":[89],"dominant":[91,165],"source":[92,166],"of":[93,118,160],"spillovers":[95],"ICA-based":[98],"model.":[100],"The":[101],"evidence":[102],"has":[103,172],"shown":[104],"that":[105,138],"ICA":[107],"can":[109,167],"more":[110],"accurately":[111],"capture":[112],"market":[113,158],"nonnormal":[116],"distributions":[117],"data":[123],"by":[124],"transforming":[125],"multivariate":[127],"into":[130,145],"statistically":[131],"independent":[132],"components":[133],"(ICs).":[134],"Our":[135],"findings":[136],"indicate":[137],"clustered":[144],"three":[146],"categories":[147],"according":[148],"similarity.":[151],"There":[152],"each":[161],"group":[162],"be":[168],"identified.":[169],"important":[173],"implications":[174],"for":[175,182],"investors":[176],"policymakers":[183],"countries.":[186]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1}],"updated_date":"2026-04-18T07:56:08.524223","created_date":"2025-10-10T00:00:00"}
