Journal articles: 'Directional Spillovers'

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Su, Xianfang, and Yong Li. "Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses." PLOS ONE 15, no. 12 (December 3, 2020): e0242515. http://dx.doi.org/10.1371/journal.pone.0242515.

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This paper examines the sentiment spillovers among oil, gold, and Bitcoin markets by employing spillovers index methods in a time-frequency framework. We find that the total sentiment spillover among crude oil, gold and Bitcoin markets is time-varying and is greatly affected by major market events. The directional sentiment spillovers are also time-varying. On average, the Bitcoin market is the major transmitter of directional sentiment spillovers, whereas the crude oil and gold markets are the major receivers. In particular, the sentiment spillover effects are major created at high-frequency components, implying that the markets rapidly process the sentiment spillover effects and the shock is transmitted over the short-term. Moreover, we also find that the sentiment spillover effects differ significantly in term of intensity and direction when compared with return and volatility spillover effects. The present study has certain applications for investors and policymakers.

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Mohammed, Walid Abass. "Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets." Journal of Risk and Financial Management 14, no. 6 (June 16, 2021): 270. http://dx.doi.org/10.3390/jrfm14060270.

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In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.

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Fowowe, Babajide. "Return and volatility spillovers between oil and stock markets in South Africa and Nigeria." African Journal of Economic and Management Studies 8, no. 4 (December 4, 2017): 484–97. http://dx.doi.org/10.1108/ajems-03-2017-0047.

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Purpose The purpose of this paper is to empirically examine return and volatility spillovers between oil and the stock markets of Nigeria and South Africa. Design/methodology/approach The authors make use of an innovative new methodology of capturing spillovers, which is different from what many existing studies use. The authors employ the measures of return spillovers and volatility spillovers of Diebold and Yilmaz (2009, 2012), referred to as spillover indexes. The spillover index facilitates an assessment of the net contribution of one market in the information transmission mechanism of another market. Findings The empirical results show bi-directional, but weak interdependence between the South African and Nigerian stock markets returns and oil market returns. The results for volatility spillovers show independence of volatilities between Nigeria stock markets and oil markets, while weak bi-directional spillovers were found between South African equity volatilities and oil volatilities. The time-varying total spillover plots for returns and volatilities are broadly similar and show a trend that has been observed in other studies: an increasing trend during the non-crisis period, a burst in the crisis year, a maintained higher level of transmission afterwards. Originality/value Existing studies examining spillovers between oil and stock markets have largely ignored Sub-Saharan African markets. A common feature of existing studies is that they have been conducted for two groups of countries: either European and US markets; or Gulf Cooperation Council markets Thus, this study fills this gap in the literature by examining return and volatility spillovers between oil and the stock markets of Nigeria and South Africa.

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Demiralay, Sercan, Nikolaos Hourvouliades, and Athanasios Fassas. "Dynamic co-movements and directional spillovers among energy futures." Studies in Economics and Finance 37, no. 4 (June 26, 2020): 673–96. http://dx.doi.org/10.1108/sef-09-2019-0374.

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Purpose This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate crude oil, heating oil, natural gas and reformulated blendstock for oxygenate blending gasoline, by using a multivariate fractionally integrated asymmetric power ARCH–DECO–generalized autoregressive conditional heteroskedasticity (GARCH) model and the spillover index technique. Design/methodology/approach The empirical analysis uses the dynamic equicorrelation model of Engle and Kelly (2012) to examine time-varying correlations at equilibrium. The authors further analyze dynamic volatility transmission among energy futures by using Diebold and Yilmaz (2012) dynamic spillover index based on generalized value-at-risk framework. Findings The empirical results provide evidence of heightened equicorrelations at times of financial turmoil. More specifically, the dynamic spillover analysis shows that volatility is transmitted predominantly from crude oil to the other markets and risk transfer among four markets exhibits asymmetries. Spillovers are found to be highly responsive to dramatic events such as the 9/11 terror attack, 2008–2009 global financial crisis and 2014–2016 oil glut. Practical implications The results of this study have important practical implications for investors, portfolio managers and energy policymakers as the presence of time-varying co-movements and spillovers suggests the need for dynamic trading strategies. There are also implications regarding risk management practices, as there is evidence of increased volatility transmission at times of financial turmoil and uncertainty. Finally, the results provide insights to policymakers in a better understanding of the spillover dynamics. Originality/value This paper investigates the DECOs and spillover effects among crude oil, natural gas, heating oil and gasoline futures markets. To the best of the knowledge, this is one of a few studies that examine co-movements and risk transfer in energy futures in a comprehensive framework.

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Aslam, Faheem, Paulo Ferreira, Khurrum Shahzad Mughal, and Beenish Bashir. "Intraday Volatility Spillovers among European Financial Markets during COVID-19." International Journal of Financial Studies 9, no. 1 (January 5, 2021): 5. http://dx.doi.org/10.3390/ijfs9010005.

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During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday observations from 2 December 2019 to 29 May 2020. Using the methodology of Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that 77.80% of intraday volatility forecast error variance in twelve European markets comes from spillovers. Furthermore, the highest gross directional volatility spillovers are found in Sweden and the Netherlands, while the minimum spillovers to other stock markets are observed in the stock markets of Poland and Ireland. However, German and Dutch markets transmit the highest net directional volatility spillovers. Splitting the whole sample in pre- and post-pandemic declaration (11 March 2020) we find more stable spillovers in the latter. The findings reveal important information about European stock market interdependence during COVID-19, which will be beneficial to both policy-makers and practitioners.

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Liu, Tiantian, Xie He, Tadahiro Nakajima, and Shigeyuki Hamori. "Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe." Energies 13, no. 8 (April 13, 2020): 1900. http://dx.doi.org/10.3390/en13081900.

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Using a fresh empirical approach to time-frequency domain frameworks, this study analyzes the return and volatility spillovers from fossil fuel markets (coal, natural gas, and crude oil) to electricity spot and futures markets in Europe. In the time domain, by an approach developed by Diebold and Yilmaz (2012) which can analyze the directional spillover effect across different markets, we find natural gas has the highest return spillover effect on electricity markets followed by coal and oil. We also find that return spillovers increase with the length of the delivery period of electricity futures. In the frequency domain, using the methodology proposed by Barunik and Krehlik (2018) that can decompose the spillover effect into different frequency bands, we find most of the return spillovers from fossil fuels to electricity are produced in the short term while most of the volatility spillovers are generated in the long term. Additionally, dynamic return spillovers have patterns corresponding to the use of natural gas for electricity generation, while volatility spillovers are sensitive to extreme financial events.

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Smales, Lee A. "Volatility Spillovers among Cryptocurrencies." Journal of Risk and Financial Management 14, no. 10 (October 15, 2021): 493. http://dx.doi.org/10.3390/jrfm14100493.

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The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that conditional correlations are time-varying, peaking during the COVID-19 pandemic sell-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among cryptocurrencies. We find a bi-directional relationship for returns and long-term (GARCH) spillovers between BTC and ETH, but only a unidirectional short-term (ARCH) spillover effect from BTC to ETH. We also find spillovers from BTC and ETH to USDT, but no influence running in the other direction. Our results suggest that USDT does not currently play an important role in volatility transmission across cryptocurrency markets. We also demonstrate applications of our results to hedging and optimal portfolio construction.

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Jiang, Zhuhua, Jose Arreola Hernandez, Ron P. McIver, and Seong-Min Yoon. "Nonlinear Dependence and Spillovers between Currency Markets and Global Economic Variables." Systems 10, no. 3 (June 9, 2022): 80. http://dx.doi.org/10.3390/systems10030080.

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The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network approach. We also use a multi-scale decomposition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. The major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the Euro–Dollar exchange rate as the largest contributor of connectedness to the other series.

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Lee, Hsiu-Chuan, Chih-Hsiang Hsu, and Cheng-Yi Chien. "Spillovers of international interest rate swap markets and stock market volatility." Managerial Finance 42, no. 10 (October 10, 2016): 943–62. http://dx.doi.org/10.1108/mf-08-2015-0221.

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Purpose The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements. Design/methodology/approach This study uses the short- and long-term swap spread volatility of the G7 countries to explore the spillover effects of international swap markets, and then investigates the relationship between swap and stock markets. The authors use the generalized VAR approach suggested by Diebold and Yilmaz (2012) to study spillovers of international swap markets. The Granger-causality tests are employed to examine the linkage of interest rate swap and stock markets. Findings This paper shows that a moderate spillover effect exists for the short- and long-term swap markets. Moreover, the results show that the short- and long-term swap markets of France and Germany have a larger impact on other countries’ swap markets than that of other countries’ swap markets on the French and German swap markets. Finally, the results indicate that the total volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets. Originality/value Prior literature has used impulse response and variance decomposition analyses to investigate international swap markets linkages. However, the results depend on the ordering of variables. This study uses the framework of Diebold and Yilmaz (2012) to overcome the ordering issue, and thus the authors can compute directional spillovers. This paper is the first study to explore the linkage of the total volatility spillover of swap markets and the stock markets.

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Liow, Kim Hiang, and Felix Schindler. "Linkages between office markets in Europe: a volatility spillover perspective." Journal of Property Investment & Finance 35, no. 1 (February 6, 2017): 3–25. http://dx.doi.org/10.1108/jpif-02-2016-0010.

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Purpose Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets with the objective of determining the degree of unconditional spillover between markets. Design/methodology/approach To examine volatility spillovers across the 16 office markets, the authors adopted the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) by measuring cross-office market volatility transmission in asset pricing through estimates of several “volatility spillover indices.” Findings Volatility spillovers are important and time-varying across the leading office markets, with cross-market volatility interaction being bi-directional and of relative endogenous nature for many markets. The London office market is the “volatility leader” and has exerted significant net volatility influence on the other markets. Additionally, the volatility spillovers between business cycle fluctuations and asset market cycle volatilities are linked across some European economies. Research limitations/implications Evidence of co-integration among the domestic volatility spillover cycles implies the presence of unobserved common shocks and might not be good news for international investors who pursue diversification strategies in European office real estate markets. Originality/value No previous study has addressed formally the measurement and assessment of the nature and intensity of volatility spillovers across direct office markets on such a broad range of European office markets. The relevance of the topic has been even increasing over the previous years as more and more investors seek for flexibility and participation in the investment process and asset management.

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Kumar, Manish. "Returns and volatility spillover between stock prices and exchange rates." International Journal of Emerging Markets 8, no. 2 (April 5, 2013): 108–28. http://dx.doi.org/10.1108/17468801311306984.

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PurposeThe purpose of this paper is to analyze the nature of returns and volatility spillovers between exchange rates and stock price in the IBSA nations (India, Brazil, South Africa).Design/methodology/approachThe study uses VAR framework and the recently proposed Spillover measure of Diebold and Yilmaz to examine the returns and volatility spillover between exchange rates and stock prices of IBSA nations. In addition, multivariate GARCH with time varying variance‐covariance BEKK model is used as a benchmark against the spillover methodology proposed by Diebold and Yilmaz.FindingsThe results of multivariate GARCH model suggests the integration between stock and foreign exchange markets and indicates the existence of bi‐directional volatility spillover between stock and foreign exchange markets in the IBSA countries. Spillover results using the Diebold Yilmaz model suggest the bi‐directional contribution between stock and foreign exchange market, in terms of both returns and volatility spillovers. Overall, results confirm the presence of returns and volatility spillovers within the IBSA nations and, in particular, the stock markets play a relatively more important role than foreign exchange markets in the first and second moment interactions and spillovers.Practical implicationsThe market participants may consider the relationship between the exchange rate and stock index to predict the future movement of each other effectively. Multinational companies interested in exchange rate forecasting may consider the stock market as an important attribute. There is an interesting implication for portfolio managers too because of the spillover stock and foreign exchange markets. This knowledge would help to create a fund which performs well. Moreover, the paper can help regulators and policy makers in IBSA nations to understand the structure of the market in a better way and then design their policies.Originality/valueThe study contributes to the literature by extending the existing studies on the spillover between stock price and exchange rate by investigating the issue for three emerging economies, India, Brazil and South Africa. Unlike most studies in the literature which focus on multivariate GARCH model, this is the first study which explores the issue of returns and volatility spillover between the stock prices and the exchange rates using spillover measure of Diebold and Yilmaz and much longer and recent daily data. Moreover, multivariate GARCH with time varying variance‐covariance BEKK model is used as a benchmark against the spillover methodology proposed by Diebold and Yilmaz.

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Tiwari, Aviral Kumar, Emmanuel Joel Aikins Abakah, Richard Adjei Dwumfour, and Salma Mefteh-Wali. "Connectedness and directional spillovers in energy sectors: international evidence." Applied Economics 54, no. 22 (December 20, 2021): 2554–69. http://dx.doi.org/10.1080/00036846.2021.1998326.

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Sehgal, Sanjay, Wasim Ahmad, and Florent Deisting. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market." Journal of Economic Studies 42, no. 2 (May 11, 2015): 261–84. http://dx.doi.org/10.1108/jes-11-2012-0157.

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Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely, Multi-Commodity Stock Exchange (MCX-SX) and National Stock Exchange (NSE) in India. Design/methodology/approach – The study applies cointegration test of Johansen’s along with VECM to investigate the price discovery. GARCH-BEKK model is used to examine the volatility spillover between spot and futures and between futures prices. The other two models namely, constant conditional correlation and dynamic conditional correlation are used to demonstrate the constant and time-varying correlations. In order to confirm the volatility spillover results, the study also applies test of directional spillovers suggested by Diebold and Yilmaz (2009, 2012). Findings – The results of the study show that there is long-term equilibrium relationship between spot and futures and between futures markets. Between futures and spot prices, futures price appears to lead the spot price in the short-run. Volatility spillover results indicate that the movement of volatility spillover takes place from futures to spot in the short-run while spot to futures found in the long-run. However, the results of between futures markets exhibit the dominance of MCX-SX over NSE in terms of volatility spillovers. By and large, the findings of the study indicate the important role of futures market in price discovery as well as volatility spillovers in India’s currency market. Practical implications – The results highlight the role of futures market in the information transmission process as it appears to assimilate new information quicker than spot market. Hence, policymakers in emerging markets such as India should focus on the development of necessary institutional and fiscal architecture, as well as regulatory reforms, so that the currency market trading platforms can achieve greater liquidity and efficiency. Originality/value – Due to recent development of currency futures market, there is dearth of literature on this subject. With the apparent importance of currency market in recent time, this study attempts to study the efficient behavior of currency market by way of examining the price discovery and volatility spillovers between spot and futures and between futures prices of four currencies traded on two platforms. The study has strong implications for India’s stock market especially at the time when its currency is under great strain owing to the adverse impact of global financial crisis.

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Kyriazis, Nikolaos A. "A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets." Journal of Risk and Financial Management 12, no. 4 (November 12, 2019): 170. http://dx.doi.org/10.3390/jrfm12040170.

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This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as a receiver of spillovers from virtual currencies and alternative assets. Ethereum, Litecoin, and Ripple present the most significant interlinkages with Bitcoin. Return spillovers are more pronounced but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among Bitcoin and national currencies, while economic policy uncertainty is not influential. This survey provides useful guidance in the hotly-debated issue of reform and decentralization of financial systems.

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Pham, Linh, and Oguzhan Cepni. "Extreme directional spillovers between investor attention and green bond markets." International Review of Economics & Finance 80 (July 2022): 186–210. http://dx.doi.org/10.1016/j.iref.2022.02.069.

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Hung, Ngo Thai. "Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin." Managerial Finance 48, no. 4 (February 1, 2022): 587–610. http://dx.doi.org/10.1108/mf-08-2021-0355.

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PurposeThis paper investigates the dynamic intercorrelation among cryptocurrency (Bitcoin) and conventional financial assets (gold, oil and S&P 500).Design/methodology/approachThe dynamic contemporaneous nexus has been analyzed using spillover index developed and extended by Diebold and Yilmaz (2012, 2014) and Kyrtsou-Labys (2006) nonlinear causality tests. This study is implemented using the daily data spanning from January 2013 to December 2021.FindingsFirst, using the spillover index, the authors find evidence that the S&P 500 was a net transmitter of volatility from oil and gold markets, but a net receiver of volatility from Bitcoin. Return spillovers from crude oil were transmitted first to gold, and Bitcoin markets and return spillovers from gold were transmitted to Bitcoin. Second, Kyrtsou-Labys nonlinear causality tests provide us further insights into the lead-lag interconnections among the four key considered variables from the economic perspective. Specifically, a close inspection of these empirical results, the integration of the four key assets is significant. Similarly, price fluctuation dependency among Bitcoin, stock, gold and oil markets is generally minimal, but it strengthens throughout the COVID-19 period.Originality/valueThis paper is the first study employing the spillover index Diebold-Yilmaz alongside with Kyrtsou-Labys nonlinear causality tests not only to capture the directional return spillover effects but also to highlight the potential presence of asymmetric causality relationships, nonlinear effects among assets under investigation that the previous studies have been ignored in these relations. Therefore, the main contribution of this article to the related literature in this field is significant.

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Chen, Chien-Fu, and Shu-hen Chiang. "Time-varying spillovers among first-tier housing markets in China." Urban Studies 57, no. 4 (May 22, 2019): 844–64. http://dx.doi.org/10.1177/0042098019841580.

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Numerous efforts have over the last few years been devoted to studying spillovers (ripple effects) among cities as a means of evaluating overheated housing markets. What seems to be lacking, however, is the application of a rolling-window approach to further explore time-varying spillovers in a timely manner in order to look more closely at a housing market with Chinese characteristics; for example, a market with rapidly increasing prices and a sequence of policy recommendations. By focusing on total, directional and net spillovers, and using 2000–2017 monthly housing price data across six Chinese cities, this study’s results indicate that time-varying spillovers provide a better understanding of the interactions among first-tier cities. It is interesting to note that, following the downside risk faced by the economy in 2014, the spillovers among cities have been abruptly transformed into those exhibiting bilateral co-movements based on high total spillovers and low net spillovers, and these results are also confirmed by the frequency dynamics of spillovers. Based on the above, there is sufficient evidence to conclude that the housing frenzies in China, which have become a national-level issue, deserve a more explicit macro-control policy in relation to real estate assets.

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Gamba-Santamaria, Santiago, Jose Eduardo Gomez-Gonzalez, Jorge Luis Hurtado-Guarin, and Luis Fernando Melo-Velandia. "Volatility spillovers among global stock markets: measuring total and directional effects." Empirical Economics 56, no. 5 (December 22, 2017): 1581–99. http://dx.doi.org/10.1007/s00181-017-1406-3.

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Hung, Ngo Thai. "Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?" Acta Oeconomica 70, no. 3 (October 6, 2020): 449–68. http://dx.doi.org/10.1556/032.2020.00022.

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AbstractThis study investigates the transmission mechanism of price and volatility spillovers across the Budapest, Warsaw, Prague, Bucharest, and Zagreb stock markets in the pre- and post-financial crisis periods under the framework of the multivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. By using daily closing prices, the results highlight certain interesting findings. I found evidence of price spillovers of the intraregional linkages among the stock price movements in five countries. This analysis shows the existence of bi-directional volatility spillovers between stock markets of the Czech Republic and Croatia in the pre-crisis period, and between Hungary and Romania in the post-crisis period. Also, there are significant volatility spillovers from Croatia to Poland and from Poland to the Czech Republic during two periods. The volatility is found to respond asymmetrically to innovations in other markets. The findings also indicate that the stock markets are more substantially integrated into crisis, as well as the persistence of volatility spillovers between the stock markets increases, and the financial stock markets become more integrated after the crisis period.

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Bekiros, Stelios, Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, and Mobeen Ur Rehman. "Directional predictability and time-varying spillovers between stock markets and economic cycles." Economic Modelling 69 (January 2018): 301–12. http://dx.doi.org/10.1016/j.econmod.2017.10.003.

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Diebold, Francis X., and Kamil Yilmaz. "Better to give than to receive: Predictive directional measurement of volatility spillovers." International Journal of Forecasting 28, no. 1 (January 2012): 57–66. http://dx.doi.org/10.1016/j.ijforecast.2011.02.006.

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Ahmad, Wasim, Shirin Rais, and Abdul Rahman Shaik. "Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?" Quarterly Review of Economics and Finance 67 (February 2018): 14–27. http://dx.doi.org/10.1016/j.qref.2017.04.012.

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Aftab, Hira, and A. B. M. Rabiul Alam Beg. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market." International Journal of Financial Studies 9, no. 1 (January 4, 2021): 3. http://dx.doi.org/10.3390/ijfs9010003.

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The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful for the agents’ strategic policy decision making in global bond markets.

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Gurdgiev, Constantin, and Conor O’Riordan. "A Wavelet Perspective of Crisis Contagion between Advanced Economies and the BRIC Markets." Journal of Risk and Financial Management 14, no. 10 (October 19, 2021): 503. http://dx.doi.org/10.3390/jrfm14100503.

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This paper investigates the relationship between the BRICs’ and the advanced economies’ stock markets from 2000 to 2016 utilizing continuous wavelet transform. The continuous wavelet transform allows us to explore these relationships in the time–frequency domain to capture short- and long-term investors’ perspectives. Bi-directional spillovers are captured in terms of returns and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U.S. and European market shocks post the Global Financial Crisis. Based on our results, we confirm findings in relatively fragmented literature that document time-varying and imperfect BRIC markets’ integration with mature economies. Overall, we show that arbitrage opportunities continue to exist in international stock market portfolios with respect to BRIC assets. In a major addition to the literature, our study captures spillovers from the advanced economies’ shocks to BRIC markets, as well as contagion from BRIC markets’ shocks to advanced economies’ markets.

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Hwang, Seok-Hyun (Stephen). "Explaining Bi-Directional Spillovers from the Same Event: Theory and Evidence from CEO Deaths." Academy of Management Proceedings 2018, no. 1 (August 2018): 11036. http://dx.doi.org/10.5465/ambpp.2018.11036abstract.

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Oviedo-Gómez, Andrés, Sandra Milena Londoño-Hernández, and Diego Fernando Manotas-Duque. "Directional Spillover of Fossil Fuels Prices on a Hydrothermal Power Generation Market." International Journal of Energy Economics and Policy 13, no. 1 (January 22, 2023): 85–90. http://dx.doi.org/10.32479/ijeep.13641.

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The Colombian electricity market is based on a hydrothermal power generation market with a strong dependence on exogenous variables such as fossil fuel prices and climatology factors. Besides, the Colombian economy is characterizable by relevant mining-energy activities. Therefore, the main objective of this research was to evaluate the directional spillovers between the electricity spot prices and gas, coal, and crude oil prices and thus provide relevant information for the electricity market agents to identify the risk related to energy commodity price fluctuations. The dataset used in this research consists of monthly logarithmic returns of energy prices between September 2009 and December 2019. The main finding shows that the system's average connectedness is 13,6%. Besides, the electricity spot prices are net shock receivers of volatility, and 20% of their dynamic is related to fossil fuel price fluctuations.

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Pinho, Carlos, and Isabel Maldonado. "Commodity and Equity Markets: Volatility and Return Spillovers." Commodities 1, no. 1 (July 19, 2022): 18–33. http://dx.doi.org/10.3390/commodities1010003.

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The present paper provides an empirical analysis of the relationship between shocks to commodity markets and stock markets. By employing a total volatility connectedness measure, we study the relationship between shocks to oil, gold, copper, and agricultural commodity markets and emerging and developed stock markets. We conduct a connectivity analysis in the time and frequency domain to quantify market linkages using volatility spillovers over the period from 2004 to 2021. In addition, we analyze the spillovers of returns in these markets over the same period. The results suggest that both on volatility and returns spillovers, slightly more than 35% of the total variance of forecast errors is explained by shocks to markets during the period January 2004 to June 2021. We also show that, in terms of both volatility and returns, the contribution of equity market shocks to other markets is substantially more important than that of commodities; however, our analysis reveals that the total link between market returns is larger in the short run than in the long run, while in the case of volatility, the long-run frequencies concentrate the market link. Additionally, we use dynamic analysis to assess both the time evolution of total connectivity and all directional partial connectivity between markets. Our results show that both volatility and return linkages change significantly over time and that a set of events has a significant impact on them.

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Hu, Zhiqiang, and Kaibing Pei. "Bi-directional R&D spillovers and operating performance: A two-tier stochastic frontier model." Economics Letters 195 (October 2020): 109485. http://dx.doi.org/10.1016/j.econlet.2020.109485.

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Atoi, Ngozi V., and Chinedu G. Nwambeke. "Money and Foreign Exchange Markets Dynamics in Nigeria: A Multivariate GARCH Approach." Central Bank of Nigeria Journal of Applied Statistics 12, No. 1 (August 16, 2021): 109–38. http://dx.doi.org/10.33429/cjas.12121.5/6.

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This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study employs a dynamic conditional correlation form of GARCH model (DCC-GARCH) to access the nature of correlation, while an unrestricted bivariate BEKK-GARCH (1, 1) form of multivariate GARCH model is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that interest rate and exchange rate are dynamically linked negatively, suggesting that exchange rate (or interest rate) is inversely sensitive to interest rate (or exchange rate) in Nigeria. This result was substantiated by the estimated BEKK-GARCH(1, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility spillover is unidirectional, from exchange rate to interest rate, suggesting that, calming the volatility in foreign exchange market does guarantee moderation of volatility in the money market, whereas the reverse is not the case. The results underscore the growing influence of foreign exchange market in the financial space of the Nigerian economy. Thus, the study recommends that foreign exchange policies aimed at maintaining exchange rate stability should be sustained, having found exchange rate to be more effective in moderating interest rate volatility in Nigeria.

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Trabelsi, Nader, Aviral Kumar Tiwari, and Shawkat Hammoudeh. "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging." North American Journal of Economics and Finance 62 (November 2022): 101715. http://dx.doi.org/10.1016/j.najef.2022.101715.

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Lin, Ching-Chung, Shen-Yuan Chen, Dar-Yeh Hwang, and Chien-Fu Lin. "Does Index Futures Dominate Index Spot? Evidence from Taiwan Market." Review of Pacific Basin Financial Markets and Policies 05, no. 02 (June 2002): 255–75. http://dx.doi.org/10.1142/s021909150200078x.

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By utilizing vector error correction model (VECM) and EGARCH model, this article uses 5-minute intraday data to examine the interaction of return and volatility between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the newly introduced TAIEX futures. VECM model shows that there exists bi-directional Granger causality between index spot and index futures markets, but spot market plays a more important role in price discovery. The results of impulse response function and information share indicate that most of the price discovery happens in index spot market. The evidence of EGRACH shows that the impacts of spot and futures innovations are asymmetrical, and the volatility spillovers between spot and futures markets are bi-directional. However, the information flow from spot to futures is stronger. These results suggest that the TAIEX spot market dominates the TAIEX futures market in terms of return and volatility.

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Lento, Camillo, and Nikola Gradojevic. "S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown." Journal of Risk and Financial Management 14, no. 7 (July 16, 2021): 330. http://dx.doi.org/10.3390/jrfm14070330.

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This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the S&P 500 index, five other financial markets, and the VIX. Frequency domain causalities are estimated for the January–May 2020 time period on a high-frequency data set at five-minute intervals. The results reveal that price movements in the S&P 500 generally caused price movements in other financial markets before the market meltdown; however, a large number of bi-directional causalities emerged during the market meltdown. During the market recovery, S&P 500 price movements were more likely to be caused by other financial markets’ price movements. The VIX, exchange rate, and gold returns had the most prominent influence on the S&P 500 returns in the market recovery.

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Zeng, Sheng, Xinchun Liu, Xiafei Li, Qi Wei, and Yue Shang. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains." Physica A: Statistical Mechanics and its Applications 536 (December 2019): 122565. http://dx.doi.org/10.1016/j.physa.2019.122565.

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Awartani, Basel, Aktham I. Maghyereh, and Mohammad Al Shiab. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries." Journal of International Financial Markets, Institutions and Money 27 (December 2013): 224–42. http://dx.doi.org/10.1016/j.intfin.2013.08.002.

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Jiang, Huayun, Jen-Je Su, Neda Todorova, and Eduardo Roca. "Spillovers and Directional Predictability with a Cross-Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures." Journal of Futures Markets 36, no. 12 (March 14, 2016): 1231–55. http://dx.doi.org/10.1002/fut.21779.

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Bhowmik, Roni, Gouranga Chandra Debnath, Nitai Chandra Debnath, and Shouyang Wang. "Emerging stock market reactions to shocks during various crisis periods." PLOS ONE 17, no. 9 (September 13, 2022): e0272450. http://dx.doi.org/10.1371/journal.pone.0272450.

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This study investigates granger causal linkages among six Asian emerging stock markets and the US market over the period 2002–2020, taking into account several crisis periods. The pairwise Granger causality tests for investigating the short-run causality show significant bi- and uni-directional causal relationships in those markets and evidence that they have become more internationally integrated after every crisis period. An exception is Bangladesh with almost no significant short-term causal linkages with other markets. For understanding, how the financial linkages amplify volatility spillover effects, we apply the GARCH-M model and find that volatility and return spillovers act very inversely over time. However, market interface is weak before the crisis periods and becomes very strong during the financial crisis and US-China economic policy uncertainty periods. The US market plays a dominant role during the financial crisis and COVID-19 periods. Further analysis using the VAR model shows that a large proportion of the forecast variance of the Asian emerging stock markets is affected by the S&P 500 and that market shock starts to rise notably from the 1 to 10 period. The overall findings could provide important policy implications in the six countries under study regarding hedging, trading strategies, and financial market regulation.

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Škrinjarić. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets." International Journal of Financial Studies 7, no. 4 (October 11, 2019): 59. http://dx.doi.org/10.3390/ijfs7040059.

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This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock returns, volatilities and the investor’s attention variable (captured by the online search volume). Moreover, the relationship is assumed to be time varying due to changing market conditions. Previous research does not deal with the time-varying multi-directional relationship. Thus, the contribution to existing research consists of estimating the aforementioned relationship between return, volatility and the search volume series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression) model framework. The results indicate that the Google search volume affects the risk series more than the return series on the selected markets.

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Zeng, Hongjun, and Ran Lu. "High-frequency volatility connectedness and time-frequency correlation among Chinese stock and major commodity markets around COVID-19." Investment Management and Financial Innovations 19, no. 2 (June 23, 2022): 260–73. http://dx.doi.org/10.21511/imfi.19(2).2022.23.

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This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross-wavelet transform to examine the transmission of risk patterns in these markets before and during the COVID-19 outbreak, as well as the leading lag relationship and synergistic movements between different time domains. First, the findings of the DCC-GARCH connectedness model show dynamic total spillovers are stronger after the COVID-19 outbreak. Chinese stocks and corn have been net spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility relative to other markets (net pairwise directional connectedness) in the system as a whole. In terms of wavelet results, there is some connection to the connectedness results, with all commodity markets, except soybeans and wheat, showing significant dependence on Chinese equities in the medium/long term following the COVID-19 outbreak. Secondly, the medium-to long-term frequency of the crude oil market and copper market are highly dependent on the Chinese stock market, especially after the COVID-19 outbreak. Meanwhile, the copper market is the main source of risk for the Chinese stock market, while the wheat market sends the least shocks to the Chinese stock market. The findings of this paper will have a direct impact on a number of important decisions made by investors and policymakers.

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Zhu, Songping, and Azhong Ye. "Does the Impact of China’s Outward Foreign Direct Investment on Reverse Green Technology Process Differ across Countries?" Sustainability 10, no. 11 (October 23, 2018): 3841. http://dx.doi.org/10.3390/su10113841.

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The reverse technology spillover effect of Outward Foreign Direct Investment (OFDI) has been widely discussed. In the context of pursuing green growth, a few scholars began to study the impact of OFDI on home country green technological progress or green total factor productivity. However, few of these papers have made a thorough analysis of how OFDI affects the home country’s green technological progress, and have not considered the impact of different types of OFDI on green technological progress. This paper extends the basic analysis framework of technological progress to green technological progress, and discusses for the first time the ways for China to invest in developed and developing countries to achieve green technological progress. Specifically, this paper combines the global Malmquist productivity concept with the directional distance function to construct the global Malmquist Luenberger (GML) index to describe green technological progress of China’s provinces, and uses panel data model from 2003 to 2016 to study the impact of China’s investment in different types of countries. The results show that: (1) China’s investment in developed countries can bring reverse green technology spillovers and promote China’s green technology progress. But this is also affected by China’s domestic human capital stock, the increase in human capital stock is conducive to the absorption of green technology. (2) OFDI flows to transition or developing countries have failed to bring about green technological progress, but domestic R&D capital stock can produce a control response. (3) Environmental regulation, import trade and domestic R&D capital stock can bring positive effects on green technology progress, while foreign direct investment, fiscal decentralization and economic growth hinder green technology progress. (4) There is regional heterogeneity in the impact of OFDI with different directions on green technological progress. Because of environmental regulation and economic development, the eastern region of China is easier to obtain reverse green technology progress than the central and western regions in the process of OFDI.

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Yue, Li, Juying Miao, Fayyaz Ahmad, Muhammad Umar Draz, Haifeng Guan, Abbas Ali Chandio, and Nabila Abid. "Investigating the role of international industrial transfer and technology spillovers on industrial land production efficiency: Fresh evidence based on Directional Distance Functions for Chinese provinces." Journal of Cleaner Production 340 (March 2022): 130814. http://dx.doi.org/10.1016/j.jclepro.2022.130814.

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Hkiri, Besma, Shawkat Hammoudeh, Chaker Aloui, and Larisa Yarovaya. "Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods." Pacific-Basin Finance Journal 43 (June 2017): 124–50. http://dx.doi.org/10.1016/j.pacfin.2017.03.001.

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Bouwens, Jan, Christian Hofmann, and Laurence van Lent. "Performance Measures and Intra-Firm Spillovers: Theory and Evidence." Journal of Management Accounting Research 30, no. 3 (September 1, 2017): 117–44. http://dx.doi.org/10.2308/jmar-51903.

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ABSTRACT We revisit the question of how performance measures are used to evaluate business unit managers in response to intra-firm spillovers. Specifically, we are interested in variation in the relative incentive weightings of aggregated “above-level” measures (e.g., firm-wide net income), “own-level” business unit measures (e.g., business unit profit), and specific “below-level” measures (e.g., R&D expenses) in response to spillover arising from either the focal unit's effect on other business units or the other units' effect on the focal unit. Our theory highlights complementarity between above- and below-level measures and the existence of an interaction between the two directions of spillovers. Based on a survey of 122 business unit managers, we report evidence consistent with an interaction effect and with complementarity between above- and below-level measures. In particular, we show that firms increase the weighting on both above- and below-level measures when they are coping simultaneously with high levels of spillovers on other units and spillovers from other units. JEL Classifications: D23; L22; M12; M4.

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Herrera, Diego, Alexander Pfaff, and Juan Robalino. "Impacts of protected areas vary with the level of government: Comparing avoided deforestation across agencies in the Brazilian Amazon." Proceedings of the National Academy of Sciences 116, no. 30 (July 8, 2019): 14916–25. http://dx.doi.org/10.1073/pnas.1802877116.

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Protected areas (PAs) are the leading tools to conserve forests. However, given their mixed effectiveness, we want to know when they have impacts internally and, if they do, when they have spillovers. Political economy posits roles for the level of government. One hypothesis is that federal PAs avoid more internal deforestation than state PAs since federal agencies consider gains for other jurisdictions. Such political differences as well as economic mechanisms can cause PA spillovers to vary greatly, even from “leakage,” more deforestation elsewhere, to “blockage,” less deforestation elsewhere. We examine internal impacts and local spillovers for Brazilian Amazon federal and state agencies. Outside the region’s “arc of deforestation,” we confirm little internal impact and show no spillovers. In the “arc,” we test impacts by state, as states are large and feature considerably different dynamics. For internal impacts, estimates for federal PAs and indigenous lands are higher than for state PAs. For local spillover impacts, estimates for most arc states either are not significant or are not robust; however, for Pará, federal PAs and indigenous lands feature both internal impacts and local spillovers. Yet, the spillovers in Pará go in opposite directions across agencies, leakage for indigenous lands but blockage for federal PAs, suggesting a stronger external signal from the environmental agency. Across all these tools, only federal PAs lower deforestation internally and nearby. Results suggest that agencies’ objectives and capacities are critical parts of the contexts for conservation strategies.

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Greenstein, Shane. "The Direction of Broadband Spillovers." IEEE Micro 31, no. 2 (March 2011): 104. http://dx.doi.org/10.1109/mm.2011.33.

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Sebri, Mouna, and Georges Zaccour. "Estimating umbrella-branding spillovers: a retailer perspective." European Journal of Marketing 51, no. 9/10 (September 12, 2017): 1695–712. http://dx.doi.org/10.1108/ejm-02-2016-0074.

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Purpose The starting conjecture is that the market share of a brand in one category benefits from its performance in another category, and vice versa. The purpose of this paper is to assess the umbrella-branding spillovers by investigating the presence of synergy effect between categories when a retailer and/or a manufacturer decide to adopt/use the same name for his products. In fact, besides the cross-category dependency due to substitutability or complementarity, products can also be linked through their brand name in presence of an umbrella-branding strategy. Design/methodology/approach The authors propose an extended market-share model to account for the spillover effect at the brand level. The spillover is modeled to be generated by the brand's performance and not specific to marketing instruments, as done in the literature. They adopt a multiplicative competitive interaction (MCI) form for the attraction function. Based on aggregated data of two complementary oral-hygiene categories, the authors estimate the umbrella-branding spillover parameters using the iterate three-stage least squares (I3SLS) method. They contrast the results in three scenarios: no spillover, brand-constant spillover and brand-specific spillover. Findings The ensuing results indicate that umbrella-branding spillover is (i) significant and positive, i.e. the brand performance is boosted by its performance in a related category, through the so-called brand-attraction multiplier; (ii) asymmetric, i.e. the spillover is not equal in both directions; and associated to the market strength of each competing brand; (iii) variable across brands. The results show that not accounting for umbrella-branding spillover leads to misestimating the parameters and has a considerable impact on price-elasticities computation. Research limitations/implications Because store brands and some national brands exist in many categories, and thus because consumers make inferences when they face a large number of brands in different categories, spillover effects cannot be labelled as simply complementary or substitution-related. Future research may provide insight about the spillover phenomenon in a more general framework that would consider the spillover occurring between more than two categories. Practical implications Providing accurate assessment for umbrella-branding spillovers governing the competing brands, the results offer a relevant and straightforward method for decision makers to precisely assess the impact of a marketing effort in one category on the retailer's global performance. The findings provide better forecasts of market response in terms of sales and profit, within a cross-category perspective. Originality/value This study develops and estimates a market-share model with the aim of measuring brand-category spillover effects. The literature dealt with cross-category interactions in terms of substitutability or complementarity between the products offered in the two or more categories under investigation. Here, the focal point (and contribution) of the authors is the link at the brand level. Indeed, the authors only require that a minimum of one brand is offered in at least two of the categories of interest. Further, the spillover considered is not specific to marketing instruments, but is generated by the brand performance (attraction or market share), which is the result of both the firms marketing-mix choice and competitors marketing policies.

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Singh, Amanjot, and Parneet Kaur. "Stock Market Linkages: Evidence From The US, China And India During The Subprime Crisis." Timisoara Journal of Economics and Business 8, no. 1 (June 1, 2015): 137–62. http://dx.doi.org/10.1515/tjeb-2015-0012.

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AbstractThe Subprime crisis spillovered the returns and volatility from the US stock market to the other integrated economies. The present study attempts to analyze the stock market linkages between the US, India and China, especially during the US subprime Crisis. The technique of Tri-Variate Vector Autoregression and the Spillover Index has been employed so as to analyze the relations during the time period 2007 to 2009. To estimate the time varying risk parameters, the technique of Threshold Generalized Autoregressive Conditional Heteroskedastic [TGARCH (1,1)] model has been used. A uni-directional causality has been observed from the US market to the Indian and Chinese market, whereas another unidirectional causality has also been spotted running from the Chinese market to the Indian market in the context of stock market returns during the crisis period. A unidirectional volatility spillover from the US to the Indian market and from the Indian to the Chinese market has been found to be significant. As per the volatility Spillover Index, the cross market impact on the volatility reduces over a time period 2007-2009, due to the increased impact of the past volatility and the presence of 'leverage effect'. The falling returns added to the volatility in the respective markets. The efficient tests of causality inspired by Hill (2007) reported an indirect impact of the US market volatility on the Chinese market via Indian. The portfolio managers should discount this information well ahead of time to maintain the portfolio values by taking positions in futures and options market.

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Kang, Sang Hoon, Gazi Salah Uddin, Victor Troster, and Seong-Min Yoon. "Directional spillover effects between ASEAN and world stock markets." Journal of Multinational Financial Management 52-53 (December 2019): 100592. http://dx.doi.org/10.1016/j.mulfin.2019.100592.

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Janković, Irena. "THE EFFECTS OF VOLATILITY SPILLOVER ON THE LARGEST GLOBAL FINANCIAL MARKET SEGMENTS." Facta Universitatis, Series: Economics and Organization, no. 2 (January 23, 2019): 319. http://dx.doi.org/10.22190/fueo1804319j.

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The aim of the paper is to present and analyse indicators of financial connectedness and volatility spillover on important segments of the global financial market – the stock market, bond market, CDS market, and foreign exchange market. Total, net, and directional measures of volatility spillover are presented and analysed, indicating the level of connectedness of countries’ particular market segments and the level of volatility spillover in periods of crisis and stability.

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Arreola Hernandez, Jose Arreola, Sang Hoon Kang, Zhuhua Jiang, and Seong-Min Yoon. "Spillover Network among Economic Sentiment and Economic Policy Uncertainty in Europe." Systems 10, no. 4 (June 30, 2022): 93. http://dx.doi.org/10.3390/systems10040093.

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We explore the directional spillover network among economic sentiment indicators and the economic policy uncertainty (EPU) index from Europe. We derive our results by fitting the directional spillover index approach to the monthly frequency data of eleven European countries, economic sentiment indicators and the European EPU index, spanning from 1 January 1987, to 1 February 2019. The empirical results indicate that the economic sentiment indicators of the largest European economies (Germany, France, and Italy) spillover with each other the most. The economic sentiment indicators of Germany and France most strongly influence the EU and Euro area economic sentiment indicators. The economic sentiment indicators of France and Italy have the most influence on the European EPU index, while the latter has the strongest influence on the economic sentiment indicators of Germany and France.

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Philen, Michael K., and K. W. Wang. "Active Stiffeners for Vibration Control of a Circular Plate Structure: Analytical and Experimental Investigations." Journal of Vibration and Acoustics 127, no. 5 (January 19, 2005): 441–50. http://dx.doi.org/10.1115/1.2013303.

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Space-based adaptive optic systems have gained considerable attention within the past couple of decades. Achieving the increasingly stringent performance requirements for these systems is greatly hindered by strict weight restrictions, size limitations, and subjected hostile environments. There has been considerable attention in developing lightweight adaptive optics where piezoelectric sheet actuators are attached on the back of optical mirrors to achieve a high precision surface shape with minimum additional weight. Vibration control of such large flexible space structures is continually challenging to engineers due to the large number of actuators and sensors and the large number of vibration modes within the operational bandwidth. For these structures, any disturbed modes are likely to remain vibrating for an extended period of time due to the small amount of damping available. As a result, controller spillover should be minimized as much as possible to avoid exciting the residual modes. In recent investigations of circular plate shape control by [Philen and Wang, Int. Soc. Opt. Eng. 4327, pp. 709–719]. It was demonstrated that directional decoupling of the two-dimensional actuator (meaning that the actuation in one of the two directions is eliminated) improves the system performance when correcting for the lower order Zernike static deformations. This directional decoupling effect can be achieved through an active stiffener (AS) design. In this research, analytical and experimental efforts are carried out to examine the effect of the active stiffener actuators in reducing the controller spillover through the stiffeners’ decoupling characteristics. It is shown that significant reductions in controller spillover can be achieved in systems using the active stiffener actuators when compared to systems having direct attached (DA) actuators, thus resulting in improved vibration control performance. The experimental results verify the analytical predictions and clearly demonstrate the merit of the active stiffener concept.

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Journal articles on the topic 'Directional Spillovers'

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