RETURN AND VOLATILITY SPILLOVERS AMONG STOCK INDEXES IN DEVELOPED MARKETS AND EMERGING MARKETS

摘要：

　　This article measures the extent of return and volatility spillovers across 17 stock indexes from markets in emerging countries or industrialized countries.Within a generalized vector autoregressive framework, we use the forecas-terror variance decompositions to compute return and volatility spillover indexes over the full sample.Considering the dynamic aspects of spillover, we plot total spillovers for returns and volatilities using rolling sample windows.We find that although return and volatility spillovers display a similar upward trend, volatility spillovers fluctuate more dramatically than return spillovers, and on average,the magnitude of return spillovers is larger than that of volatility spillovers.

关键词： Spillover Effects Return Volatility Stock Indexes

作者: Xiaolei Rao

作者单位: School of Finance, Central University of Finance and Economics, Beijing 100081, China

会议类型: 国际会议

会议名称: The 12th International Conference on Industrial Management(第十二届工业管理国际会议)

会议地点: 成都

会议语种:英文

页码: 600-605

在线出版日期: 2014-09-03（万方平台首次上网日期，不代表论文的发表时间）