Volatility Spillover Between the Chinese and Australian Stock Markets
Author | : Wei Chi |
Publisher | : |
Total Pages | : 23 |
Release | : 2015 |
ISBN-10 | : OCLC:1306341818 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Volatility Spillover Between the Chinese and Australian Stock Markets written by Wei Chi and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This paper finds that the volatility spillover across these two markets is bidirectional while there is single or insignificant spillover across industries between these two countries. More specifically, the results of the Granger causality test show that the stock market volatility spillover is bidirectional between these two markets in the financial, health care, industrials, information technology, and materials industries. One-way volatility spillover exists in the consumer staples industry and there is insignificant volatility spillover in the energy, telecommunications, and utilities industries between the Chinese and Australian stock markets.