Volatility spillovers,structural breaks and uncertainty in technology sector markets

This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty.Our results suggest that structural breaks have diverse effects on financial asset connectedness and that the level of bond linkage increases when the trend breaks.We see a growing co-movement between the technology sector and major financial assets when uncertainty is considered.Overall,our findings indicate that the connectedness response varies depending on the type of uncertainty shock.

Portfolio optimization based on network centralities:Which centrality is better for asset selection during global crises?

We construct correlation-based networks linking 86 assets(stock indices,bond indices,foreign exchange rates,commodity futures,and cryptocurrencies)and analyze the impact of asset selection on portfolio optimization using different centrality measures(including degree,eigenvector,eccentricity,betweenness,PageRank,and hybrid centralities).In times of a global crisis,peripheral assets located in cross-market networks are more suitable for investment.By comparing portfolio performance based on different centrality measures,we find that(i)hybrid,eigenvector,and PageRank centralities can best improve portfolio performance;(ii)degree centrality is suitable for larger portfolios;and(iii)eccentricity and betweenness centralities are unsuitable for network optimization portfolios.In response,we explain them based on the construction principle of centrality measures.Additionally,our optimal portfolios suggest that investors pay more attention to the role of emerging countries,which are less exposed to external shocks and whose financial markets are more likely to remain stable.