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, doi: 10.1007/b137888.

Attached Files
Name Description MIMEType Size Downloads

Title Volatility transmission between stock and bond markets : evidence from US and Australia
Author(s) Fang, VictorORCID iD for Fang, Victor orcid.org/0000-0001-8914-3363
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
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
DOI 10.1007/b137888
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
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 2 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 305 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Tue, 21 Feb 2012, 10:22:16 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.