Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Year: 2008
Type: article
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; both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, we find striking evidence of divergent behaviour 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.
Source: The Economic Journal
Authors: Francis X. Diebold, Kamil Yilmaz
Institutions: University of Pennsylvania, Koç University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3122186884