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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
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.
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Cited by
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Metadata
- Authors
- Diebold, F. X., & Yilmaz, K.
- Venue
- The Economic Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2008-12-09
- Volume
- 119
- Issue
- 534
- Pages
- 158-171
- ISSN
- 0013-0133 (ISSN-L)
- 1468-0297
- OpenAlex
- W3122186884
- Cited by
- 3,075
- References
- 0
- FWCI
- 32.08
- Type
- journal article
- Language
- en
- Open access
- closed
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- Diebold, F. X., & Yilmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal. https://doi.org/10.1111/j.1468-0297.2008.02208.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
