Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, E, Brooks, R, Chi, W and Do, H 2018, 'Volatility spillover between the US, Chinese and Australian stock markets', Australian Journal of Management, vol. 43, no. 2, pp. 263-285.

Document type: Journal Article
Collection: Journal Articles

Title Volatility spillover between the US, Chinese and Australian stock markets
Author(s) Bissoondoyal-Bheenick, E
Brooks, R
Chi, W
Do, H
Year 2018
Journal name Australian Journal of Management
Volume number 43
Issue number 2
Start page 263
End page 285
Total pages 23
Publisher Sage Publications Ltd.
Abstract We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries.
Subject Finance
Keyword(s) Bi-power variation
granger casuality test
realized volatility
volatility spillover
DOI - identifier 10.1177/0312896217717305
Copyright notice © The Author(s) 2017
ISSN 0312-8962
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