Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK |
| |
Institution: | 1. College of Finance and Statistics, Hunan University, Changsha 410006, China;2. College of Business Administration, Hunan University, Changsha 410082, China;1. UBS, Bahnhofstrasse 45, 8098 Zurich, Switzerland;2. Swiss National Bank, Börsenstrasse 15, 8001 Zurich, Switzerland |
| |
Abstract: | This article investigates co-movements and volatility spillovers between the three UK financial sector CDS indexes over time. We find sharp increases in the dynamic conditional correlations for all pairs after the Lehman shock, indicating evidence of contagion, and decreases for two pairs (banking-life insurance and life insurance-other financial) after the zenith of the European debt crisis, implying the emergence of diversification opportunities. Dynamic spillover index measures suggest that, although the banking sector was a dominant net transmitter of volatility, other financial sectors also became net transmitters for some periods, highlighting the importance of appropriate regulation of these two sector areas. |
| |
Keywords: | Financial sector CDS Dynamic conditional correlation Volatility spillover European sovereign debt crisis Contagion C58 G01 G20 |
本文献已被 ScienceDirect 等数据库收录! |
|