This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric...

We examine market linkage and information spillover across the U.S. stock, corporate bond, and credit derivatives markets in the pre-crisis, crisis, and recovery periods. Our results suggest that information spills over across markets in a timely manner. We find that the market linkage becomes...