formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts"--National Bureau of …

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight … between Asia and the US to be strong in both directions, and spillovers in volatility to run from Asia to the US. Trading … volume, especially on the Asian markets, depends on shocks in domestic and foreign returns as well as on volatility …