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Volatility linkages and spillovers in stock and bond markets : some international evidence

Fang, Victor, Lin, Edward and Lee, Vincent 2007, Volatility linkages and spillovers in stock and bond markets : some international evidence, Journal of international finance and economics, vol. 7, no. 1, pp. 1-10.

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Title Volatility linkages and spillovers in stock and bond markets : some international evidence
Author(s) Fang, Victor
Lin, Edward
Lee, Vincent
Journal name Journal of international finance and economics
Volume number 7
Issue number 1
Start page 1
End page 10
Publisher Academy of International Business and Economics
Place of publication Turlock, Calif.
Publication date 2007
ISSN 1555-6336
Keyword(s) comovement
volatility transmissions
market-wide volatility
spillover effect
Summary This study investigates the transmission of market-wide volatility between the equity markets and bond markets of Japan, Germany, the U. K., and the U. S. To measure the volatility transmission, the BEKK- a decomposition approach to the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. Our results suggest that within the domestic cross markets, the volatility transmission is undirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant bi-directional volatility transmissions between stock markets in Germany and the U. K., and between Germany and the U. S. The volatility transmissions among these markets suggest that the international diversification of bonds is not prevalent.
Notes Reproduced with the kind permission of the copyright owner.
Language eng
Field of Research 159999 - Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 - Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2007, Academy of International Business and Economics
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042542

Document type: Journal Article
Collections: School of Accounting, Economics and Finance
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