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

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Abstract

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.

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  • Alethea Rea & William Rea & Marco Reale & Carl Scarrott, 2012. "A comparison of Spillover Effects before, during and after the 2008 Financial Crisis," Working Papers in Economics 12/03, University of Canterbury, Department of Economics and Finance.
    • Handle: RePEc:cbt:econwp:12/03
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    More about this item

    Keywords

    Volatility spillover; graphical modelling; financial crisis; causality;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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