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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2007/02
- Classification
-
Wirtschaft
International Finance: General
International Financial Markets
Financial Aspects of Economic Integration
- Subject
-
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
- Event
-
Geistige Schöpfung
- (who)
-
Diebold, Francis X.
Yilmaz, Kamil
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2007
- Handle
- URN
-
urn:nbn:de:hebis:30-38118
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Diebold, Francis X.
- Yilmaz, Kamil
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2007
Other Objects (12)
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Measuring financial asset return and volatility spillovers : with application to global equity markets [[Elektronische Ressource]]
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Financial sector volatility connectedness and equity returns
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Measuring financial asset return and volatility spillovers : with application to global equity markets [[Elektronische Ressource]]
Return and volatility spillovers among the East Asian equity markets
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Measuring financial asset return and volatilty spillovers, with application to global equity markets
Measuring financial asset return and volatilty spillovers, with application to global equity markets : [February 2008]
Financial sector volatility connectedness and equity returns
Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Realized return volatility, asset pricing, and risk management
Return and volatility spillovers to industry returns: Does EMU play a role?
Return and volatility spillovers to industry returns: does EMU play a role?
Asset volatility
Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
Measuring financial asset return and volatility spillovers : with application to global equity markets [[Elektronische Ressource]]
Return and volatility spillovers among the East Asian equity markets
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Measuring financial asset return and volatilty spillovers, with application to global equity markets
Measuring financial asset return and volatilty spillovers, with application to global equity markets : [February 2008]
Financial sector volatility connectedness and equity returns
Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Realized return volatility, asset pricing, and risk management
Return and volatility spillovers to industry returns: Does EMU play a role?
Return and volatility spillovers to industry returns: does EMU play a role?
Asset volatility