A Comparison of Spillover Effects before, during and after the 2008 Financial CrisisReport as inadecuate




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

KEYWORDS

Volatility Spillover; Graphical Modelling; Financial Crisis; Causality

Cite this paper

Rea, A. , Rea, W. , Reale, M. and Scarrott, C. 2014 A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis. Applied Mathematics, 5, 601-614. doi: 10.4236-am.2014.54057.





Author: Alethea Rea, William Rea, Marco Reale, Carl Scarrott

Source: http://www.scirp.org/



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