Asymmetry in return and volatility spillover between equity and bond markets in Australia
AbstractWe 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 InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 18 (2010)
Issue (Month): 3 (June)
Contact details of provider:
Web page: http://www.elsevier.com/locate/pacfin
Asset pricing Volatility asymmetry Market spillovers;
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