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
| Verfasserangaben: | Francis X. Diebold, Kamil Yilmaz |
|---|---|
| URN: | urn:nbn:de:hebis:30-38118 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,02 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2007, 02) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2007 |
| Jahr der Erstveröffentlichung: | 2007 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 23.02.2007 |
| Freies Schlagwort / Tag: | Asset Market; Asset Return; Contagion; Emerging Market; Financial Crisis; Herd Behavior; Market Linkage; Stock Market |
| GND-Schlagwort: | Kapitalanlage; Volatilität |
| Ausgabe / Heft: | January 2007 |
| Seitenzahl: | 17 |
| Bemerkung: | Version January 2007 |
| HeBIS-PPN: | 190112603 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
