Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*



This article is corrected by:

  1. Errata: Erratum to Diebold and Yilmatz (2009) Volume 120, Issue 546, F354–F356, Article first published online: 21 July 2010

  • *

     For helpful comments we thank the Editor and two referees, Jon Faust, Ayhan Kose, Roberto Rigobon, Harald Uhlig and the organisers and participants at the 2006 NBER International Seminar on Macroeconomics in Tallinn, Estonia, especially Michael Binder, Kathryn Dominguez, Jeff Frankel, Francesco Giavazzi, Eric Leeper, Lucrezia Reichlin and Ken West.


We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers; both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, we find striking evidence of divergent behaviour in the dynamics of return spillovers vs. volatility spillovers: return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.