EconPapers    
Economics at your fingertips  
 

Decomposing European bond and equity volatility

Charlotte Christiansen

International Journal of Finance & Economics, 2010, vol. 15, issue 2, 105-122

Abstract: The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatility spillover is analysed simultaneously. A new model belonging to the 'volatility-spillover' class is suggested: The conditional variance of e.g. the unexpected German stock return is divided into separate effects from US bonds, US stocks, European bonds, European stocks, German bonds, and German stocks. Significant volatility-spillover effects are found. The national bond (stock) volatilities are mainly influenced by bond (stock) effects. After the introduction of the euro the European markets have become more integrated; bond markets more so than stock markets. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://hdl.handle.net/10.1002/ijfe.385 Link to full text; subscription required (text/html)

Related works:
Working Paper: Decomposing European Bond and Equity Volatility (2007) Downloads
Working Paper: Decomposing European bond and equity volatility (2005) Downloads
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:ijf:ijfiec:v:15:y:2010:i:2:p:105-122

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

DOI: 10.1002/ijfe.385

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing (jdl@wiley.com) and Christopher F. Baum (baum@bc.edu).

 
Page updated 2024-12-28
Handle: RePEc:ijf:ijfiec:v:15:y:2010:i:2:p:105-122