Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia

Chris Brooks and Ólan Henry

No 676, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper examines the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques.

Keywords: FINANCIAL MARKET; ECONOMETRIC MODELS; FINANCIAL PLANNING (search for similar items in EconPapers)
JEL-codes: C14 G12 G15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1999
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Journal Article: Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia (2000)
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