Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
AbstractWe 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. Copyright � The Author(s). Journal compilation � Royal Economic Society 2009.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 119 (2009)
Issue (Month): 534 (01)
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Other versions of this item:
- Diebold, Francis X. & Yilmaz, Kamil, 2008. "Measuring financial asset return and volatilty spillovers, with application to global equity markets," CFS Working Paper Series 2008/26, Center for Financial Studies (CFS).
- Tom Doan, . "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, Francis X. & Yilmaz, Kamil, 2007. "Measuring financial asset return and volatility spillovers, with application to global equity markets," CFS Working Paper Series 2007/02, Center for Financial Studies (CFS).
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
- G1 - Financial Economics - - General Financial Markets
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