Paper Title
The Tale Of Four Markets: Investigating The Role Of Sovereign Bonds Markets In Financial Markets Volatility Spillovers

Abstract
We apply the spillover index methodology developed by Diebold and Yilmaz (2009, 2012) to investigate the role sovereign bond markets play in volatility spillovers taking place on financial markets. In the first phase of the analysis we estimate fixed and time-varying return and volatility spillovers among 19 developed and developing countries´ sovereign bond markets for the post-Lehman Brothers bankruptcy period. In addition we decompose the overall sovereign bond markets spillover dynamics into specific country-to-country return and volatility spillovers. We conclude that even though sovereign bond markets exhibit significant shifts in the intensity of volatility spillovers associated mostly with European debt crisis, it is equity markets and not bond markets that act as originators of volatility innovation. Index Terms - Volatility Spillover Index, Equity Markets, Bond Markets, Foreign Exchange Markets, Commodity Markets.