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Spillover impacts of the US macroeconomic news: Australian sectoral perspective

Author

Listed:
  • Tho D.Q. Nguyen

    () (Rouen Business School)

  • Jian Wu

    () (Rouen Business School)

Abstract

We study the spillover effects of the US macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contractionary from the US raises the conditional mean, and most news elicits the associated volatility in the Australian stock markets. While the US news has been absorbed relatively quickly on the conditional mean, the volatility impact speed is unclear. More importantly, we reveal that the US GDP news has the strongest impact on both the first two moments of the Australian daily returns and help reduce volatility in the latter market.

Suggested Citation

  • Tho D.Q. Nguyen & Jian Wu, 2010. "Spillover impacts of the US macroeconomic news: Australian sectoral perspective," Economics Bulletin, AccessEcon, vol. 30(3), pages 1753-1771.
  • Handle: RePEc:ebl:ecbull:eb-10-00096
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    References listed on IDEAS

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    More about this item

    Keywords

    Spillover effects; Macroeconomic news; Australia stock markets; EGARCH;

    JEL classification:

    • F3 - International Economics - - International Finance

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