Publication: Trans-Atlantic equity volatility connectedness: U.S. and European financial institutions, 2004-2014
Program
KU-Authors
KU Authors
Co-Authors
Diebold, Francis X.
Advisor
Publication Date
2016
Language
English
Type
Journal Article
Journal Title
Journal ISSN
Volume Title
Abstract
We characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004-2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007-2008 the direction of connectedness was clearly from the United States to Europe, but that connectedness became bidirectional starting in late 2008. Second, we find an unprecedented surge in directional connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating connectedness during the U.S. and the European crises.
Description
Source:
Journal of Financial Econometrics
Publisher:
Oxford Univ Press
Keywords:
Subject
Business enterprises, Finance, Economics