A high-frequency analysis of return and volatility spillovers in the European sovereign bond market
Conall O'Sullivan and
Vassilios Papavassiliou
The European Journal of Finance, 2025, vol. 31, issue 9, 1115-1140
Abstract:
Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisis periods. The longer-term benchmark securities of core countries are the largest net volatility transmitters, whereas the shorter-term benchmarks of periphery countries are the leading net receivers of volatility shocks. Moreover, the short-end and the long-end of the yield curve in both regions emerge as the sole net recipients of return spillovers. We note that bonds of periphery countries become volatility spillover transmitters during important macroeconomic events such as credit rating downgrades and financial assistance packages to financially distressed countries.
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2021.1910057 (text/html)
Access to full text is restricted to subscribers.
Related works:
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:taf:eurjfi:v:31:y:2025:i:9:p:1115-1140
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20
DOI: 10.1080/1351847X.2021.1910057
Access Statistics for this article
The European Journal of Finance is currently edited by Chris Adcock
More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().