Asymmetry in return and volatility spillover between equity and bond markets in Australia | Macquarie University ResearchOnline

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/101737

82 Visitors

94 Hits

0 Downloads

Title: Asymmetry in return and volatility spillover between equity and bond markets in Australia
Related: Pacific-Basin finance journal, Vol. 18, Issue 3 (2010), p.272-289
DOI: 10.1016/j.pacfin.2009.09.003
Publisher: Elsevier
Date: 2010
FoR/RFCD Code(s): 150200 Banking, Finance and Investment
Author/Creator: Dean, Warren G
Author/Creator: Faff, Robert W
Author/Creator: Loudon, Geoffrey F
Description: We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period 1992-2006 using a bivariate GARCH modelling approach. Negative bond market returns spillover into lower stock market returns whereas good news originating in the equity market leads to lower bond returns. Bond market volatility spills over into the equity market but the reverse is not true. Transmission of bond volatility into equity volatility depends in a complex way upon the respective signs of the return shocks in each market.
Description: 18 page(s)
Subject Keyword: 150200 Banking, Finance and Investment
Subject Keyword: asset pricing
Subject Keyword: volatility asymmetry
Subject Keyword: market spillovers
Resource Type: journal article
Organisation: Macquarie University. Dept. of Accounting and Finance

Macquarie University ResearchOnline