This paper provides a new viewpoint on the time and frequency dynamics of the spillover effects among eight major world equity market indexes. We extend the Diebold–Yilmaz approach and the Barunilk and Krehik methodology to estimate and measure the skewness spillover. Our empirical results indicate that the total skewness spillover is far smaller than the total volatility spillover among all markets. Although both volatility spillover and skewness spillover vary with time, the skewness remains relatively smooth and varies gradually when extreme events occur, while the total volatility spillover changes more rapidly and dramatically. Moreover, we observed that most skewness spillover is generated in the short term (1-5 days), while most volatility spillover is produced over the long term (over 21 days).

本文提供了关于八种主要世界股票市场指数之间溢出效应的时间和频率动态的新观点。我们扩展了Diebold–Yilmaz方法以及Barunilk和Krehik方法，以估计和测量偏度溢出。我们的经验结果表明，总的偏度外溢远小于所有市场之间的总波动率外溢。尽管波动率溢出和偏度溢出均随时间而变化，但偏斜度保持相对平稳，并在发生极端事件时逐渐变化，而总波动率溢出的变化则更为迅速和戏剧性。此外，我们观察到，大多数偏度溢出是在短期内（1-5天）产生的，而大多数波动性溢出是在长期内（21天以上）产生的。