Arbeitspapier
Measuring financial asset return and volatility spillovers, with application to global equity markets
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2007/02
- Klassifikation
-
Wirtschaft
International Finance: General
International Financial Markets
Financial Aspects of Economic Integration
- Thema
-
Asset Market
Asset Return
Stock Market
Emerging Market
Market Linkage
Financial Crisis
Herd Behavior
Contagion
Kapitalertrag
Finanzmarkt
Volatilität
Spillover-Effekt
Finanzmarktkrise
Internationaler Finanzmarkt
Aktienmarkt
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Diebold, Francis X.
Yilmaz, Kamil
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2007
- Handle
- URN
-
urn:nbn:de:hebis:30-38118
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Diebold, Francis X.
- Yilmaz, Kamil
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2007
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