Intra-daily volatility spillovers between the US and German stock markets

Arbeitspapier

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly accounts for three distinct intraday periods resulting from the non-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility spillovers from one intraday period to the next within both markets ('heat-wave effects') as well as across the two markets ('meteor-shower effects'). Furthermore, we find that during the subprime crisis the general persistence of short-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly larger than before the crisis, indicating substantial volatility contagion effects.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Economics Working Paper ; No. 2012-06

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Econometrics ; Financial Forecasting and Simulation
• Thema: Conditional autoregressive Wishart model ; Impulse response analysis ; Observationdriven models ; Realized covariance matrix ; Subprime crisis ; Börsenkurs ; Aktienindex ; Volatilität ; Spillover-Effekt ; Aktienmarkt ; Ansteckungseffekt ; Deutschland ; Subprime-Hypothek ; Finanzmarktkrise ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Golosnoy, Vasyl ; Gribisch, Bastian ; Liesenfeld, Roman
• Ereignis: Veröffentlichung
• (wer): Kiel University, Department of Economics
• (wo): Kiel
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/58264
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ