 Intra-daily volatility spillovers in international stock marketsVasyl Golosnoy, Bastian Gribisch and Roman Liesenfeld Journal of International Money and Finance, 2015, vol. 53, issue C, 95-114 Abstract: Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant short-term spillovers from one stock market to the next-trading market, which have substantially intensified during the crisis indicating a global volatility contagion coming from the US market. The strongest contagion with the largest burst of spillover effects from and to foreign markets is observed for the Japanese market, which was prior to the crisis fairly uncoupled from the German and US market. We also find that the crisis leads to a significant reduction of the general persistence of volatility shocks in international stock markets. Hence, it appears that during the turmoil of the crisis news generating volatility become outdated more quickly than before the crisis. Keywords: Conditional autoregressive Wishart model; Impulse response analysis; Observation-driven models; Realized covariance matrix; Subprime crisis; Volatility contagion (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:53:y:2015:i:c:p:95-114 DOI: 10.1016/j.jimonfin.2015.01.002 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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