Deakin University
Browse

File(s) under permanent embargo

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

journal contribution
posted on 2005-01-01, 00:00 authored by Victor Fang, V Lee, L Yee-Choon
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

History

Journal

Lecture notes in computer science

Volume

3578

Pagination

580 - 587

Publisher

Springer

Location

Heidelberg, Germany

ISSN

0302-9743

eISSN

1611-3349

Language

eng

Notes

Paper presented at the Intelligent Data Engineering and Automated Learning - IDEAL 2005 6th International Conference, Brisbane, Australia, July 6-8, 2005

Publication classification

C1.1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2005, Springer-Verlag Berlin Heidelberg

Usage metrics

    Research Publications

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC