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Asymmetry in return and volatility spillover between equity and bond markets in Australia

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Author Info

  • Dean, Warren G.
  • Faff, Robert W.
  • Loudon, Geoffrey F.

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 18 (2010)
Issue (Month): 3 (June)
Pages: 272-289

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Handle: RePEc:eee:pacfin:v:18:y:2010:i:3:p:272-289

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Web page: http://www.elsevier.com/locate/pacfin

Related research

Keywords: Asset pricing Volatility asymmetry Market spillovers;

References

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Citations

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Cited by:
  1. Haixia, Wu & Shiping, Li, 2013. "Volatility spillovers in China’s crude oil, corn and fuel ethanol markets," Energy Policy, Elsevier, vol. 62(C), pages 878-886.
  2. Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, vol. 41(C), pages 63-75.
  3. Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang, 2013. "Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 205-217, December.

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