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

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

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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File URL: http://www.sciencedirect.com/science/article/B6VFF-4YC2XCX-1/2/c6f6308e318dd0ece832b1e0ac15f462
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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