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

Francis Diebold and Kamil Yilmaz ()

Economic Journal, 2009, vol. 119, issue 534, 158-171

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; both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, we find striking evidence of divergent behaviour 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. Copyright © The Author(s). Journal compilation © Royal Economic Society 2009.

Date: 2009
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Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009) Downloads
Working Paper: Measuring financial asset return and volatility spillovers, with application to global equity markets (2008) Downloads
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2008) Downloads
Working Paper: Measuring financial asset return and volatilty spillovers, with application to global equity markets (2008) Downloads
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007) Downloads
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007) Downloads
Working Paper: Measuring financial asset return and volatility spillovers, with application to global equity markets (2007) Downloads
Software Item: RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations Downloads
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