Intra-daily volatility spillovers in international stock markets

• We model intraday volatility spillovers in the US, German and Japanese stock market.
• We use a four-phase autoregressive Wishart approach for the realized (co) variances.
• Spillovers within and across markets are significant.
• Spillovers across markets have substantially intensified during the subprime crisis.
• The subprime crisis has reduced the general persistence of volatility shocks.

Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant short-term spillovers from one stock market to the next-trading market, which have substantially intensified during the crisis indicating a global volatility contagion coming from the US market. The strongest contagion with the largest burst of spillover effects from and to foreign markets is observed for the Japanese market, which was prior to the crisis fairly uncoupled from the German and US market. We also find that the crisis leads to a significant reduction of the general persistence of volatility shocks in international stock markets. Hence, it appears that during the turmoil of the crisis news generating volatility become outdated more quickly than before the crisis.