Volatility spillovers and the role of leading financial centres

Giulio Cifarelli () and Giovanna Paladino

Banca Nazionale del Lavoro Quarterly Review, 2001, vol. 54, issue 216, 37-71

Abstract: This paper investigates volatility spillovers between eleven equity markets located in Europe, Asia, Latin America and the US from July 1992 to July 1999. The absolute value of stock returns is adopted as volatility index. The VAR methodology--duly adjusted in order to account for differences in market trading times--is used to examinevolatility dependencies across the Asian crisis and to simulate the way local volatilityresponds to a shock in another market using impulse response and variance decomposition analyses. These techniques are implemented on VAR residuals previously filtered with GARCH(1,1) models, as the inference requires normal iid residuals. The evidence suggests that the US market plays a crucial role in transferring news, and arole that varies over time, growing in Asia and declining in Europe. Moreover, there is evidence of discernible differences in the pattern of volatility transmission during the crisis as the dimension and number of volatility spillovers increases--a clear symptom of contagion across markets.

Keywords: Stock Returns; Stocks (search for similar items in EconPapers)
JEL-codes: G12 G15 O16 (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9928/9810 (application/pdf)

Related works:
Journal Article: Volatility spillovers and the role of leading financial centres (2001)
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:psl:bnlqrr:2001:12

Ordering information: This journal article can be ordered from
http://www.economiacivile.it

Access Statistics for this article

Banca Nazionale del Lavoro Quarterly Review is currently edited by Alessandro Roncaglia

More articles in Banca Nazionale del Lavoro Quarterly Review from Banca Nazionale del Lavoro
Bibliographic data for series maintained by Carlo D'Ippoliti ().