Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains
Aviral Tiwari (),
Rangan Gupta () and
Mark Wohar ()
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Juncal Cunado: University of Navarra, School of Economics, Edificio Amigos, Pamplona, Spain
No 201780, Working Papers from University of Pretoria, Department of Economics
This paper analyzes the volatility spillovers across four global asset classes namely, stock, sovereign bonds, credit default swaps (CDS) and currency from September 2009 to September 2016, using both a time-domain and a frequency-domain framework. When the Diebold and Yilmaz (2012) methodology is applied, the estimated total connectedness index is 3.67%, suggesting a low level of connection among the four markets. Furthermore, the results show that the stock and CDS markets are net transmitters of volatility, while foreign exchange and bond markets are net receivers of the spillovers. When the Barunik and Krehlik (2017) frequency-domain analysis is carried out, the results indicate, first, that at higher frequencies, the degree of connectedness increases, and, second, that the stock market becomes the only net transmitter of volatility spillovers across the markets.
Keywords: Volatility Spillovers; Financial Markets (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fmk, nep-mac and nep-ore
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