A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis

• 作者: Alethea Rea Carl Scarrott Marco Reale William Rea
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: VOLATILITY SPILLOVER GRAPHICAL Modelling FINANCIAL CRISIS CAUSALITY
• 年，卷（期）: 2014,（4）
• 页码范围: 601-614
• 页数: 14页
• 分类号: R73

摘要

This paper applies graphical modelling to the S & P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market integration changed significantly between the pre-crisis period and the crisis and post-crisis period. Graphical models of both return and volatility spillovers are presented for each period. We conclude that graphical models are a useful tool in the analysis of multivariate time series where tracing the flow of causality is important.