Measuring financial asset return and volatilty 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 nineteen 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.

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Metadaten
Author:Francis X. Diebold, Kamil Yilmaz
URN:urn:nbn:de:hebis:30-57645
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,26
Series (Serial Number):CFS working paper series (2008, 26)
Document Type:Working Paper
Language:English
Year of Completion:2008
Year of first Publication:2008
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2008/09/24
Tag:Contagion; Herd Behavior; Variance Decomposition; Vector Autoregression
GND Keyword:Kapitalanlage; Volatilität
Issue:February 2008
Page Number:22
HeBIS-PPN:205699790
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht