Causality-in-variance and causality-in-mean among European government bond markets

• Autores: Guangzhong Li, James F. Refalo, L. Wu
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 18, Nº. 19-21, 2008, págs. 1709-1720
• Idioma: inglés
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• Resumen

  • This article examines causality in volatility spillover (causality-in-variance) for the six major European government bond markets. Using tests of temporal causality and directed acyclic graphs, we find evidence of contemporaneous causality-in-variance, indicating that volatility spillover in the government bond markets is a short-lived phenomenon. However, we find no evidence of contemporaneous causality-in-mean for bond index returns. The tests reveal that the markets are bidirectionally linked, and reasonably well integrated.