Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK

Go Tamakoshi and Shigeyuki Hamori

Research in International Business and Finance, 2016, vol. 36, issue C, 288-296

Abstract: This article investigates co-movements and volatility spillovers between the three UK financial sector CDS indexes over time. We find sharp increases in the dynamic conditional correlations for all pairs after the Lehman shock, indicating evidence of contagion, and decreases for two pairs (banking-life insurance and life insurance-other financial) after the zenith of the European debt crisis, implying the emergence of diversification opportunities. Dynamic spillover index measures suggest that, although the banking sector was a dominant net transmitter of volatility, other financial sectors also became net transmitters for some periods, highlighting the importance of appropriate regulation of these two sector areas.

Keywords: Financial sector CDS; Dynamic conditional correlation; Volatility spillover; European sovereign debt crisis; Contagion (search for similar items in EconPapers)
JEL-codes: C58 G01 G20 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:36:y:2016:i:c:p:288-296

DOI: 10.1016/j.ribaf.2015.09.027

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