Volatility spillovers across global asset classes: Evidence from time and frequency domains

Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar (mwohar@unomaha.edu)

The Quarterly Review of Economics and Finance, 2018, vol. 70, issue C, 194-202

Abstract: This paper analyzes the volatility spillovers across four global asset classes namely, stock, sovereign bonds, credit default swaps (CDS) and currency from September 2009 to September 2016, using both a time-domain and a frequency-domain framework. When the Diebold and Yilmaz (2012) methodology is applied, the estimated total connectedness index is 5.08%, suggesting a low level of connection among the four markets. Furthermore, the results show that the stock and CDS markets are net transmitters of volatility, while foreign exchange and bond markets are net receivers of the spillovers. When the Barunik and Krehlik (2018) frequency-domain analysis is carried out, the results indicate, first, that at higher frequencies, the degree of connectedness increases, and, second, that the net transmitter of volatility spillovers across the markets is contingent on the frequency under consideration.

Keywords: Volatility spillovers; Financial markets (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (94)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976917304003
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains (2017)
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: https://EconPapers.repec.org/RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202

DOI: 10.1016/j.qref.2018.05.001

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).