Volatility spillover between the US, Chinese and Australian stock markets

Emawtee Bissoondoyal-Bheenick, Robert Brooks, Wei Chi and Hung Xuan Do
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Emawtee Bissoondoyal-Bheenick: Department of Banking and Finance, Monash Business School, Caulfield East, VIC, Australia
Wei Chi: Department of Banking and Finance, Monash Business School, Caulfield East, VIC, Australia
Hung Xuan Do: Finance Discipline Group, University of Technology Sydney, Ultimo, NSW, Australia; School of Economics Finance, Massey University, Albany Campus, Auckland, New Zealand

Australian Journal of Management, 2018, vol. 43, issue 2, 263-285

Abstract: 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

Keywords: Bi-power variation; granger casuality test; realized volatility; volatility spillover (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:43:y:2018:i:2:p:263-285

DOI: 10.1177/0312896217717305

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