IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00548772.html

Spillover impacts of the US macroeconomic news: Australian sectoral perspective

Author

Listed:
  • Jian Wu

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

  • Tho D. Q. N'Guyen

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

Abstract

This paper studies 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 theAustralian 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 dailyreturns and help reduce volatility in the latter market.

Suggested Citation

  • Jian Wu & Tho D. Q. N'Guyen, 2010. "Spillover impacts of the US macroeconomic news: Australian sectoral perspective," Post-Print hal-00548772, HAL.
    • Handle: RePEc:hal:journl:hal-00548772
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Zhuhua Jiang & Rim El Khoury & Muneer M. Alshater & Seong‐Min Yoon, 2024. "Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet‐based analysis," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 78-105, March.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • F3 - International Economics - - International Finance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00548772. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.