TITLE:
A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis
AUTHORS:
Alethea Rea, William Rea, Marco Reale, Carl Scarrott
KEYWORDS:
Volatility Spillover; Graphical Modelling; Financial Crisis; Causality
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.4,
March
10,
2014
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.