Volatility Spillovers from Australia's major trading partners across the GFC

David Allen, Michael McAleer and Abhay K. Singh
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Abhay K. Singh: School of Accounting, Finance and Economics, Edith Cowan University.

No 2014-26, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng. (In the case of China, as both China and Hong Kong appear in Australian trade statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009) Spillover Index, constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis confirms that the US and Hong Kong markets have the greatest in uence on the Australian one. We then move to a GARCH framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and Chinese market, as represented by the Hang Seng Index.

Keywords: Volatility Spillover Index; VAR analysis; Variance Decomposition; Cholesky-GARCH. (search for similar items in EconPapers)
JEL-codes: C02 G11 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2014
New Economics Papers: this item is included in nep-cse
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https://eprints.ucm.es/id/eprint/26496/1/1426.pdf (application/pdf)

Related works:
Journal Article: Volatility Spillovers from Australia's major trading partners across the GFC (2017)
Working Paper: Volatility Spillovers from Australia's major trading partners across the GFC (2014)
Working Paper: Volatility Spillovers from Australia's Major Trading Partners across the GFC (2014)
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