variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize … daily volatility spillovers across U.S. stock, bond, foreign exchange and commodities markets, from January 1999 through … September 2009. We show that despite significant volatility fluctuations in all four markets during the sample, cross …

-country variations. We find that increased protection of shareholders and greater accounting transparency contribute negatively to …