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 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
| Author: | Francis X. Diebold, Kamil Yilmaz |
|---|---|
| URN: | urn:nbn:de:hebis:30-38118 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,02 |
| Series (Serial Number): | CFS working paper series (2007, 02) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2007 |
| Year of first Publication: | 2007 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2007/02/23 |
| Tag: | Asset Market; Asset Return; Contagion; Emerging Market; Financial Crisis; Herd Behavior; Market Linkage; Stock Market |
| GND Keyword: | Kapitalanlage; Volatilität |
| Issue: | January 2007 |
| Page Number: | 17 |
| Note: | Version January 2007 |
| HeBIS-PPN: | 190112603 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
