Volatility transmission between stock and bond markets : evidence from US and Australia

Fang, Victor, Lee, Vincent and Yee-Choon, Lim 2005, Volatility transmission between stock and bond markets : evidence from US and Australia, Lecture notes in computer science, vol. 3578, pp. 580-587.

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Title Volatility transmission between stock and bond markets : evidence from US and Australia
Author(s) Fang, Victor
Lee, Vincent
Yee-Choon, Lim
Journal name Lecture notes in computer science
Volume number 3578
Start page 580
End page 587
Publisher Springer
Place of publication Heidelberg, Germany
Publication date 2005
ISSN 0302-9743
1611-3349
Keyword(s) comovement
volatility transmission
conditional varaince
GARCH (1,1)
Summary This paper investigates the cross-market informational dependence between these assets under disparate interest rate conditions of the U.S and Australia. With conditional variance as a proxy for volatility, we use the BEKK – a matricular decomposition of the bivariate GARCH (1,1) model to examine the cross-market contemporaneous effect of information arrival. Applying the model to the stock and bond indices of both countries, we find evidence of volatility spillover, thereby supporting the notion of informational dependence between each market
Notes Paper presented at the Intelligent Data Engineering and Automated Learning - IDEAL 2005 6th International Conference, Brisbane, Australia, July 6-8, 2005
Language eng
Field of Research 149999 - Economics not elsewhere classified
Socio Economic Objective 970114 - Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2005, Springer-Verlag Berlin Heidelberg
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042547

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