Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, E; Brooks, R; Chi, W; Do, HX

Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, E Brooks, R Chi, W Do, HX

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Publication Type:: Journal Article
Citation:: Australian Journal of Management, 2018, 43 (2), pp. 263 - 285
Issue Date:: 2018-05-01

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Field	Value	Language
dc.contributor.author	Bissoondoyal-Bheenick, E	en_US
dc.contributor.author	Brooks, R	en_US
dc.contributor.author	Chi, W	en_US
dc.contributor.author	Do, HX	en_US
dc.date.issued	2018-05-01	en_US
dc.identifier.citation	Australian Journal of Management, 2018, 43 (2), pp. 263 - 285	en_US
dc.identifier.issn	0312-8962	en_US
dc.identifier.uri	http://hdl.handle.net/10453/132286
dc.description.abstract	© 2017, © The Author(s) 2017. We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries. JEL Classification: G15.	en_US
dc.relation.ispartof	Australian Journal of Management	en_US
dc.relation.isbasedon	10.1177/0312896217717305	en_US
dc.title	Volatility spillover between the US, Chinese and Australian stock markets	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	43	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	43	en_US

Abstract:

© 2017, © The Author(s) 2017. We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries. JEL Classification: G15.

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http://hdl.handle.net/10453/132286