Volatility spillover between the US, Chinese and Australian stock markets

Emawtee Bissoondoyal-Bheenick, Robert Brooks, Wei Chi, Hung Xuan Do

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3 Citations (Scopus)

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. JEL Classification: G15.

Original languageEnglish
Pages (from-to)263-285
Number of pages23
JournalAustralian Journal of Management
Volume43
Issue number2
DOIs
Publication statusPublished - 1 May 2018

Keywords

  • Bi-power variation
  • granger casuality test
  • realized volatility
  • volatility spillover

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