This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-Square (R2) connectedness framework combining the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The...

This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R2 connectedness framework which combines the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed...

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions