Measuring financial asset return and volatilty spillovers, with application to global equity markets

Francis Diebold and Kamil Yilmaz ()

No 2008/26, CFS Working Paper Series from Center for Financial Studies (CFS)

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.

Keywords: Contagion; Herd Behavior; Variance Decomposition; Vector Autoregression (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/43200/1/599227087.pdf (application/pdf)

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 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)
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:zbw:cfswop:200826

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().