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. Attached Files Name Description MIMEType Size Downloads fang-volatilitylinkages-2007.pdf Published version application/pdf 3.69MB 289 Title Volatility linkages and spillovers in stock and bond markets : some international evidence Author(s) Fang, Victor orcid.org/0000-0001-8914-3363 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 Free to Read? Yes Persistent URL http://hdl.handle.net/10536/DRO/DU:30042542 Document type: Journal Article Collections: Faculty of Business and Law School of Accounting, Economics and Finance Open Access Collection   Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. 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. Versions Version Filter Type Tue, 21 Feb 2012, 10:22:08 EST Tue, 28 Feb 2012, 14:35:12 EST Tue, 28 Feb 2012, 14:48:41 EST Tue, 28 Feb 2012, 14:50:16 EST Tue, 28 Feb 2012, 14:51:33 EST Thu, 21 Jun 2012, 10:20:32 EST Tue, 06 Sep 2016, 18:22:32 EST Tue, 05 Dec 2017, 12:29:29 EST Fri, 07 Sep 2018, 15:47:19 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 790 Abstract Views, 289 File Downloads  -  Detailed Statistics Created: Tue, 21 Feb 2012, 10:22:08 EST