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| Tekijä: | Diebold, F.X. Yilmaz, K. |
| Otsikko: | Measuring financial asset return and volatility spillovers, with application to global equity markets |
| Lehti: | Economic Journal
2009 : JAN, VOL. 119:534, p. 158-171 |
| Asiasana: | finance assets rate of return volatility stock markets equities financial crises international |
| Kieli: | eng |
| Tiivistelmä: | A simple and intuitive measure of interdependence of asset returns and/or volatilities is provided, focusing especially on precise and separate measures of return spillovers (henceforth as: ret-spovs.) and volatility spillovers (here as: vol-spovs). This paper's framework facilitates studying both non-crisis and crisis episodes, including trends and bursts in spovs. Based on an analysis of 19 global equity markets from the early 1990s to the present, there is found striking evidence of divergent behaviour in the dynamics of ret-spovs. vs. vol-spovs.: ret-spovs. are showing a gently increasing trend but no bursts, while vol-spovs. are displaying no trend but clear bursts. |
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