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

Francis Diebold and Kamil Yilmaz ()

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

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 sixteen 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.

Keywords: Asset Market; Asset Return; Stock Market; Emerging Market; Market Linkage; Financial Crisis; Herd Behavior; Contagion (search for similar items in EconPapers)
JEL-codes: F30 F36 G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2007-01-03
New Economics Papers: this item is included in nep-bec and nep-cfn
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Citations: View citations in EconPapers (15)

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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 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)
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