Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
研究了2004-2014年美国与欧洲主要金融机构的股票波动关联性，发现2007-2008年关联方向从美国到欧洲，2008年底后变为双向，2011年6月欧洲向美国传导出现空前激增，并识别出关键机构。
Abstract: We characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004-2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007-2008 the direction of connectedness was clearly from the U.S. to Europe, but that connectedness became bi-directional starting in late 2008. Second, we find an unprecedented surge in directional connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating connectedness during the U.S. and the European crises.