BFS 2002

Poster Presentation

Spotting Special Spillovers

Dirk Baur, Robert Jung

The subject of the paper is to test whether there are mean and volatility spillovers between the US and the German stock market. Based on a newly compiled sample of intra-day data for the Dow Jones Industrial Average and the DAX, we find significant spillovers from the US to the German market and vice versa. We also differentiate between contemporaneous correlation and a spillover. In addition, we identify spurious spillovers associated with the opening quotes and with the exclusive estimation of volatility spillovers that can result in a trade-off between a mean and a volatility spillover.