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THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS

Maruška Vizek ; Institute of Economics, Zagreb

Fulltext: english, pdf (1 MB) pages 597-610 downloads: 178* cite
APA 6th Edition
Vizek, M. (2019). THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS. Ekonomska misao i praksa, (2), 597-610. Retrieved from https://hrcak.srce.hr/230541
MLA 8th Edition
Vizek, Maruška. "THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS." Ekonomska misao i praksa, vol. , no. 2, 2019, pp. 597-610. https://hrcak.srce.hr/230541. Accessed 18 Sep. 2021.
Chicago 17th Edition
Vizek, Maruška. "THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS." Ekonomska misao i praksa , no. 2 (2019): 597-610. https://hrcak.srce.hr/230541
Harvard
Vizek, M. (2019). 'THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS', Ekonomska misao i praksa, (2), pp. 597-610. Available at: https://hrcak.srce.hr/230541 (Accessed 18 September 2021)
Vancouver
Vizek M. THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS. Ekonomska misao i praksa [Internet]. 2019 [cited 2021 September 18];(2):597-610. Available from: https://hrcak.srce.hr/230541
IEEE
M. Vizek, "THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS", Ekonomska misao i praksa, vol., no. 2, pp. 597-610, 2019. [Online]. Available: https://hrcak.srce.hr/230541. [Accessed: 18 September 2021]

Abstracts
The aim of this paper is to apply the spillover index methodology developed by Diebold and Yilmaz (2009, 2012) to investigate the role individual sovereign bond markets play in international sovereign bond market volatility spillovers. Daily data for 19 developed and developing countries from four continents is used in order to estimate fixed and time-varying return and volatility spillovers index for sovereign bond markets during post-Lehman Brothers bankruptcy period. In addition, we decompose the overall sovereign bond markets return and volatility spillover index into specific country-to-country spillovers to detect individual countries that explain the majority of detected spillovers. We find that innovations to the US sovereign bond market have the biggest influence on the return and volatility variance in other sovereign bond markets across the globe. In addition, spillovers are more intensive for the sovereign bond returns than for volatilities in the observed period. European debt crisis seem to be the cause of surges in return and volatility spillover in the observed period.

Keywords
volatility spillover index; return spillover index; sovereign bond markets

Projects
HRZZ / UIP / UIP-2013-11-1356 / SOBOM - Economic, statistical and political aspects of sovereign bond markets

Hrčak ID: 230541

URI
https://hrcak.srce.hr/230541

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