ORCID
Szczepan Urjasz: 0000-0001-8335-0695
Keywords
stock market, uncertainty, volatility, risk, connectedness, TVP-VAR model
Abstract
This study examines the dynamic connectedness and spillover effects among various financial and economic indicators, including uncertainty indices, market volatility, and stock market indices, from 3 June 2008, to 30 December 2024. This interconnectedness implies that shocks originating in one market or asset class can rapidly transmit to others, underscoring the potential for systemic risk and financial contagion. The US emerges as a significant net transmitter of influence within the global financial system, with the VIX playing a crucial role in influencing global financial conditions. Major European equity markets also transmit influence, while the Geopolitical Risk Index (GRI) and the Economic Policy Uncertainty Index (EPUI) are primarily influenced by the broader financial system. Total connectedness varies over time, spiking during periods of economic distress, and volatility indices exhibit positive net connectedness during periods of financial stress, indicating their role as significant sources of volatility transmission.
Acknowledgments
Funding
The research received no funds.
Declaration of Conflicting Interests
The author declared no potential conflicts of interest with respect to the research, authorship, and publication of the article.
Declaration about the scope of AI utilization
The authors did not use an AI tool in the preparation of the article.
Recommended Citation
Urjasz, S. (2025). Connectedness of Uncertainty, Volatility, and Stock Market Performance. Journal of Banking and Financial Economics, 2025(2), 113-134. https://doi.org/10.7172/2353-6845.jbfe.2025.2.7
First Page
113
Last Page
134
Page Count
22
Received Date
5.05.2025
Revised Date
7.10.2025
Accept Date
14.10.2025
Online Available Date
25.11.2025
DOI
10.7172/2353-6845.jbfe.2025.2.7
JEL Code
G14, G15, G18
Publisher
University of Warsaw
