The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets

Küçük Resim Yok

Tarih

2016

Dergi Başlığı

Dergi ISSN

Cilt Başlığı

Yayıncı

Wiley-Blackwell

Erişim Hakkı

info:eu-repo/semantics/closedAccess

Özet

The scope of this paper is to determine whether global stock markets function differently under conditions of economic crisis by measuring volatility spillovers between six major markets, namely the US, the UK, Germany, Spain, Turkey, and Greece. We examine the volatility spillover effects of the 2008 US financial crisis to these six major markets using daily stock returns from January 2003 to December 2014, before, during, and after the 2008 financial crisis. We combine the Diebold and Yilmaz methodology with the stochastic volatility model of Taylor implemented through the sequential Efficient Importance Sampling method of Richard and Zhang to obtain variance decompositions derived from an estimated vector autoregressive model. The empirical findings suggest that stock markets tend to show increased volatility spillovers during the crisis period, thus resulting in lesser diversification benefits for investors.

Açıklama

Anahtar Kelimeler

Financial Crisis, Equity Markets, Stock Markets

Kaynak

International Review of Finance

WoS Q Değeri

Q4

Scopus Q Değeri

Q2

Cilt

16

Sayı

1

Künye