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http://hdl.handle.net/10419/58264
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| Title: | | Intra-daily volatility spillovers between the US and German stock markets  |
| Authors: | | Golosnoy, Vasyl Gribisch, Bastian Liesenfeld, Roman |
| Issue Date: | | 2012 |
| Series/Report no.: | | Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2012-06 |
| Abstract: | | Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly accounts for three distinct intraday periods resulting from the non-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility spillovers from one intraday period to the next within both markets ('heat-wave effects') as well as across the two markets ('meteor-shower effects'). Furthermore, we find that during the subprime crisis the general persistence of short-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly larger than before the crisis, indicating substantial volatility contagion effects. |
| Subjects: | | Conditional autoregressive Wishart model Impulse response analysis Observationdriven models Realized covariance matrix Subprime crisis |
| JEL: | | C32 C58 G17 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economics Working Papers, Department of Economics, CAU Kiel
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