Measuring financial asset return and volatility spillovers : with application to global equity markets

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of sixteen global equity markets from the early 1990s to the present, we find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. JEL Classification: F30, G15, F36
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Metadaten
Author:Francis X. Diebold, Kamil Yilmaz
URN:urn:nbn:de:hebis:30-38118
Series (Serial Number):CFS working paper series (2007, 02)
Document Type:Working Paper
Language:English
Date of Publication (online):2007/02/23
Year of first Publication:2007
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2007/02/23
Tag:Asset Market ; Asset Return ; Contagion; Emerging Market ; Financial Crisis ; Herd Behavior ; Market Linkage ; Stock Market
Note:
Version January 2007
HeBIS PPN:190112603
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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