Business-linkage volatility spillovers between US industries

Linh Xuan Diep Nguyen, Simona Mateut and Thanaset Chevapatrakul

Journal of Banking & Finance, 2020, vol. 111, issue C

Abstract: We examine the volatility transmission across industries and its dependence on the inter-industry business linkages. Our analysis reveals significant cross-industry volatility spillovers, which are clearly associated with the strength of the trade relationship between industries. An industry that is more important to its trade partner – as measured by the shares of inputs or revenue – tends to have stronger volatility spillovers toward its partner and it is less affected by the volatility originating from its partner. Importantly, the strength of the business relationship appears highly relevant for shock spillovers in bad market conditions and is also confirmed at the portfolio level.

Keywords: Asset pricing; Stock markets; Volatility spillovers; Multivariate GARCH; Input – Output linkages (search for similar items in EconPapers)
JEL-codes: C30 E16 E44 G11 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Working Paper: Business-Linkage Volatility Spillover between US Industries (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302730

DOI: 10.1016/j.jbankfin.2019.105699

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