Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Francis Diebold () and Kamil Yilmaz ()

No 13811, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec and nep-fmk
Date: 2008-02
Note: AP IFM
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/w13811.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007)
Working Paper: Measuring financial asset return and volatility spillovers, with application to global equity markets (2008)
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007)
Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:13811

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w13811
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().