 Financial market spillovers around the globeThomas Dimpfl and Robert C. Jung Applied Financial Economics, 2012, vol. 22, issue 1, 45-57 Abstract: This article investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatized returns and realized volatilities are modelled separately using a Structural Vector Autoregressive (SVAR) model, thereby accounting for the particular sequential time structure of the trading venues. Within this framework, we test hypotheses in the spirit of Granger causality tests, investigate the short-run dynamics in the three markets using Impulse Response (IR) functions, and identify leadership effects through variance decomposition. Our key results are as follows. We find weak and short-lived return spillovers, in particular from the USA to Japan. Volatility spillovers are more pronounced and persistent. The information from the home market is most important for both returns and volatilities; the contribution from foreign markets is less pronounced in the case of returns than in the case of volatility. Possible gains in terms of forecasting precision when applying our modelling strategy are illustrated by a forecast evaluation. Date: 2012 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:22:y:2012:i:1:p:45-57 Ordering information: This journal article can be ordered from DOI: 10.1080/09603107.2011.597721 Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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