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Title:Measuring financial asset return and volatilty spillovers, with application to global equity markets PDF Logo
Authors:Diebold, Francis X.
Yilmaz, Kamil
Issue Date:2008
Series/Report no.:CFS Working Paper 2008/26
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 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.
Subjects:Contagion
Herd Behavior
Variance Decomposition
Vector Autoregression
JEL:G1
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-57645
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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