Spillover impacts of the US macroeconomic news: Australian sectoral perspective

Jian Wu and Tho D. Q. N'Guyen
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Jian Wu: Pôle Finance Responsable - Rouen Business School - Rouen Business School
Tho D. Q. N'Guyen: Pôle Finance Responsable - Rouen Business School - Rouen Business School
Authors registered in the RePEc Author Service: Tho Nguyen (ndqtho@gmail.com)

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Abstract: This paper studies the spillover effects of the US macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contractionary from the US raises the conditional mean, and most news elicits the associated volatility in theAustralian stock markets. While the US news has been absorbed relatively quickly on the conditional mean, the volatility impact speed is unclear. More importantly, we reveal that the US GDP news has the strongest impact on both the first two moments of the Australian dailyreturns and help reduce volatility in the latter market.

Keywords: Spillover effects; Macroeconomic news; Australia stock markets; EGARCH (search for similar items in EconPapers)
Date: 2010-07-12
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Published in Economics Bulletin, 2010, vol.30, n°3, pp. 1753-1771

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