Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Francis Diebold and Kamil Yilmaz ()

No 13811, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of nineteen global equity markets from the early 1990s to the present, we find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2008-02
New Economics Papers: this item is included in nep-bec and nep-fmk
Note: AP IFM
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Citations: View citations in EconPapers (39)

Published as FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, 01.

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Related works:
Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009)
Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009)
Working Paper: Measuring financial asset return and volatility spillovers, with application to global equity markets (2008)
Working Paper: Measuring financial asset return and volatilty spillovers, with application to global equity markets (2008)
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007)
Working Paper: Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2007)
Working Paper: Measuring financial asset return and volatility spillovers, with application to global equity markets (2007)
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