Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Bibliographic Data
| ID | 9712892 |
|---|---|
| Authors | Francis X Diebold (University of Pennsylvania and NBER), Kamil Yilmaz (0000-0002-4544-4727, Koç University), Kamil Yılmaz (0000-0003-2455-2099, Koç University) |
| Year | 2009 |
| Volume | 119 |
| Issue | 534 |
| Pages | 158-171 |
| Publication date | 2009-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2008.02208.x |
| OpenAlex | W3122186884 |
| Language | EN |
| Citations received | 108 |
| References cited | 2 |
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. Copyright © The Author(s). Journal compilation © Royal Economic Society 2009
Capital asset pricing model · Econometrics · Economics · Equity (law · Financial crisis · Financial economics · Financial market · Macroeconomics · Monetary economics · Volatility (finance · Finance · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Market Dynamics and Volatility
How much does financial development contribute to renewable energy growth and upgrading of energy structure in China?
On the network topology of variance decompositions
Unraveling two decades of volatility in financial markets
Hierarchical integration in critical-mineral markets
Locked into transition
New Continuum of High Volatile Currency Spillover During EU-BREXIT
Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach
Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods
Crude oil, forex, and stock markets
Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks
The impact of the Covid-19 outbreak on the connectedness of the BRICS’s term structure
Research on the dynamic spillover of stock markets under Covid-19—Taking the stock markets of China, Japan, and South Korea as an example
Modeling the Global Dynamic Contagion of Covid-19
The Anatomy of Fear and Greed
Market Slumps and Innovative Spillover Strategies Between S&P 500 and Islamic African Equity Markets
From Crude to Capital
Dynamic spillovers between ESG green bonds and AI equity indices
Volatility spillovers among major tourism stock indices during Covid-19 pandemic
Where do tourism tokens travel to and from
The exposure of the US tourism subsector stocks to global volatility and uncertainty factors
Tourism-led and economic-driven nexus in Mauritius
Psychological Factors Impacting Travel Decisions From China to the United States
Quantifying investor narratives and their role during Covid‐19
Extremal connectedness of hedge funds
The double‐edged sword of global integration
Covid‐19 crisis and risk spillovers to developing economies
Who is the center of local currency Asian government bond markets
Consumption smoothing, risk sharing and financial integration
Key market identification, mechanism transmission, and extreme shock during the risk spillover process
Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
Return and volatility spillovers to African equity markets and their determinants
Sector connectedness in the Chinese stock markets
Uncertainty and financial asset return spillovers
Changing vulnerability in Asia
Effectiveness of monetary policy under the high and low economic uncertainty states
Contagion or interdependence? Comparing spillover indices
Global risks, the macroeconomy, and asset prices
Nonlinearity in the causality and systemic risk spillover between the Opec oil and GCC equity markets
Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
Cross-country connectedness in inflation and unemployment
The impact of economic uncertainty caused by Covid-19 on renewable energy stocks
A note on the Bitcoin and Fed Funds rate
Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots
Do oil prices and exchange rates account for agricultural commodity market spillovers? Evidence from the Diebold and Yilmaz Index
What drives the popularity of stablecoins? Measuring the frequency dynamics of connectedness between volatile and stable cryptocurrencies
Dynamic spillover effects and connectedness among climate change, technological innovation, and uncertainty
Volatility spillovers between energy and agriculture markets during the ongoing food & energy crisis
Technological catching up and innovation policies in China
The impact of Covid-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies
Connectedness between Defi assets and equity markets during Covid-19
Quantile connectedness among digital assets, traditional assets, and renewable energy prices during extreme economic crisis
How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets
Time and frequency domain connectedness analysis of the energy transformation under climate policy
An empirical comparison of correlation-based systemic risk measures
Return and volatility interconnectedness between metaverse tokens, commodities, clean and green energy
Do Climate Risks Affect Stock Markets? Quantile Connectedness Analysis for Major European Economics
Measuring US regional economic uncertainty
From the Diebold-Yilmaz approach to portfolio strategies
Shift-Volatility Transmission in East Asian Equity Markets
Hisse Senedi Piyasalarında Finansal Bağlantılılık Analizi
Economic distance and cross-country spillovers among African economies
High-Dimensional Multivariate Realized Volatility Forecasting with Community Network Structure
Large Spillover Networks of Nonstationary Systems
Multi-Matrix Autoregressive Models with an Application to Multi-Modal Network
Asymmetric Network Connectedness of Fears
Volatility Spillovers in East Asian Financial Markets
The perfect storm
The role of price spillovers in the Australian housing crisis
Risk spillover and network connectedness analysis of green financial and related financial markets
Analyzing the Interconnectedness Within the Volatile Crypto Market
The Analysis of Causality and Risk Spillover between Crude Oil and China’s Agricultural Futures
The spillover effect between carbon market and stock markets
Decarbonizing through disorder? How inflation, institutional quality, and green bonds drive energy market efficiency
The impact of economic outlook on green finance
Risk spillovers between China's pilot carbon markets and energy markets
Impact of Covid-19 pandemic disease outbreak on the global equity markets
Dynamic spillovers between precious metals and travel & tourism stocks in South-East Asia
Dynamic spillovers and connectedness between Covid-19 pandemic and global foreign exchange markets
Comparisons of housing price risks between first-time buyer and former owner-occupier markets in England
Nexus between green financing, economic risk, political risk and environment
Food security in Pakistan
Market integration among foreign exchange rate movements in central and eastern European countries
Ripple effect and predictive power of housing market returns
Dynamic Connectedness among BRICS and Major Countries Stock Markets
Fusion of Fintech and Green Finance Amidst Russo‐Ukrainian Conflict
Better to give than to receive
Interdependencia de Mercados y Transmisión de Volatilidad en Latinoamérica
Inter-city housing spillovers and monetary policy in China
Housing networks in urban China
What do we know about the status of housing market in China? Evidence from price and rent spillovers across first-tier cities
Unveiling systemic risk in China's housing market between first- and second-tier cities
Measuring network linkages of housing prices
Asymmetric connectedness between Google-based investor attention and the fourth industrial revolution assets
Spillover analysis of tourist movements within Europe
Sentiment, mood and outbound tourism demand
Tourism and growth
Asymmetric housing information diffusions in China
Time-varying spillovers among first-tier housing markets in China
Has the Free‐Rider Problem Been Improved in Nato ? Evidence From a Novel TVP ‐ VAR ‐Based Connectedness Approach
Dynamic connectedness and spillovers across sectors
| Unique citing works | 108 |
|---|---|
| Citations per year | 7,2 |
| Citation span | 2011 - 2026 (16) |
| Citation velocity | current |
| Highly cited | Yes |
| Citation types | Neutral: 108 |