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Volatility spillovers across global asset classes: Evidence from time and frequency domains

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  • Tiwari, Aviral Kumar
  • Cunado, Juncal
  • Gupta, Rangan
  • Wohar, Mark E.

Abstract

This paper analyzes the volatility spillovers across four global asset classes namely, stock, sovereign bonds, credit default swaps (CDS) and currency from September 2009 to September 2016, using both a time-domain and a frequency-domain framework. When the Diebold and Yilmaz (2012) methodology is applied, the estimated total connectedness index is 5.08%, suggesting a low level of connection among the four markets. Furthermore, the results show that the stock and CDS markets are net transmitters of volatility, while foreign exchange and bond markets are net receivers of the spillovers. When the Barunik and Krehlik (2018) frequency-domain analysis is carried out, the results indicate, first, that at higher frequencies, the degree of connectedness increases, and, second, that the net transmitter of volatility spillovers across the markets is contingent on the frequency under consideration.

Suggested Citation

  • Tiwari, Aviral Kumar & Cunado, Juncal & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility spillovers across global asset classes: Evidence from time and frequency domains," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 194-202.
  • Handle: RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202
    DOI: 10.1016/j.qref.2018.05.001
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    Cited by:

    1. Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures," Documentos de Trabajo del ICAE 2019-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. repec:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030 is not listed on IDEAS
    3. repec:eee:eneeco:v:76:y:2018:i:c:p:1-20 is not listed on IDEAS
    4. Saban Nazlioglu & Rangan Gupta & Elie Bouri, 2019. "Movements in International Bond Markets: The Role of Oil Prices," Working Papers 201935, University of Pretoria, Department of Economics.
    5. Aviral Kumar Tiwari & Christophe Andre & Rangan Gupta, 2019. "Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains," Working Papers 201947, University of Pretoria, Department of Economics.

    More about this item

    Keywords

    Volatility spillovers; Financial markets;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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