Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis

Abstract This paper investigates the spatial connectedness of volatility spillovers in G20 stock markets. For this purpose, we apply GARCH–BEKK model to estimate volatility spillover and construct volatility networks. The results show that the spatial connectedness is time-varying, and the turmoil periods intensify volatility linkages. Further, we find that volatility networks can be divided into four different blocks by block models. And the volatility in each block has obvious “rich-club”. In the world trade friction, the source of the volatility risk is the country that is levied by the US tariff, and the volatility risk will eventually spread to the US.