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The Volatility Spillover from the Market to Disaggregated Industry Stocks: The Case for the US and UK

Author

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  • Tomoe Moore

    (Centre for Empirical Finance, Department of Economics and Finance, Brunel University, U.K.)

Abstract

This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the UK, while some industries are more sensitive to market volatility in a bear market than others, these disaggregated sectors are broadly affected in a similar way in a bull market. The volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting international integration for these sectors.

Suggested Citation

  • Tomoe Moore, 2011. "The Volatility Spillover from the Market to Disaggregated Industry Stocks: The Case for the US and UK," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 61-68, April.
    • Handle: RePEc:ijb:journl:v:10:y:2011:i:1:p:61-68
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    Citations

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    Cited by:

    1. Tung-Zong (Donald) Chang & Su-Jane Chen & Hongmei Gu & Aijie Jiang, 2018. "A Market Volatility Analysis of the Shanghai-Hong Kong Stock Connect Program," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(2), pages 113-121, September.
    2. Imlak Shaikh, 2019. "Behaviors of Stocks and Fear Index from Terrorist Attacks: Empirical Evidence from SENSEX and NVIX," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(2), pages 195-219, September.

    More about this item

    Keywords

    volatility of stock returns; market returns; disaggregated industry stocks; GARCH;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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