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Title:Measuring financial asset return and volatility spillovers, with application to global equity markets PDF Logo
Authors:Diebold, Francis X.
Yilmaz, Kamil
Issue Date:2007
Series/Report no.:CFS Working Paper 2007/02
Abstract: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.
Subjects:Asset Market
Asset Return
Stock Market
Emerging Market
Market Linkage
Financial Crisis
Herd Behavior
Contagion
JEL:F30
G15
F36
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-38118
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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