Naslov
Investing the role of sovereign bond markets in financial markets volatility spillovers

Autori
Petra, Palić ; Vizek, Maruška

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
ICBFTM 2017 : 19th International Conference on Business, Finance and Tourism Management

Mjesto i datum
Kopenhagen, Danska, 17.08.2017. - 18.08.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
volatility spillover index, equity markets, bond markets, foreign exchange markets, commodity markets

Sažetak
We apply the spillover index methodology developed by Diebold and Yilmaz (2009, 2012) to investigate the role sovereign bond markets play in volatility spillovers taking place on financial markets. In the first phase of the analysis we estimate fixed and time-varying return and volatility spillovers among 19 developed and developing countries´ sovereign bond markets for the post-Lehman Brothers bankruptcy period. In addition we decompose the overall sovereign bond markets spillover dynamics into specific country-to-country return and volatility spillovers. In the second phase of the analysis we estimate measures of directional volatility spillovers for sovereign bond, equity, foreign exchange and commodity markets for 6 developed and developing countries in order to understand whether sovereign bond markets function more as originators of volatility innovations or they act more as recipients of these innovations. In the third phase we provide a robustness check of the results obtained in the second phase by estimating M-GARCH model. We conclude that even though sovereign bond markets exhibit significant shifts in the intensity of volatility spillovers associated mostly with European debt crisis, it is equity markets and not bond markets that act as originators of volatility innovation. In countries which do not have a developed equity markets, sovereign bond markets partially assume the originating role equity markets have.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA