A comparison of Spillover Effects before, during and after the 2008 Financial Crisis

Alethea Rea, William Rea, Marco Reale and Carl Scarrott

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: This paper applies graphical modelling to the S&P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market integration changed significantly between the pre-crisis period and the crisis and post- crisis period. Graphical models of both return and volatility spillovers are presented for each period. We conclude that graphical models are a useful tool in the analysis of multivariate time series where tracing the flow of causality is important.

Keywords: Volatility spillover; graphical modelling; financial crisis; causality (search for similar items in EconPapers)
JEL-codes: C01 C58 G15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2012-02-07
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:12/03

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