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

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Title

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

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

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 ...

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Format

Research paper

Research format

Working or discussion paper

Date created

2012

Creator

Rea, A. / Rea, W.S. / Reale, M. / Scarrott, C.

URL

http://hdl.handle.net/10092/6484

Related subjects

volatility spillover / graphical modelling / financial crisis / causality / Economics / Applied economics / Financial economics

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