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

被引：94
|
作者：
Dean, Warren G. [2 ]
Faff, Robert W. [3 ]
Loudon, Geoffrey F. [1 ]
机构：
[1] Macquarie Univ, Fac Business & Econ, Dept Accounting & Finance, N Ryde, NSW 2109, Australia
[2] Monash Univ, Dept Accounting & Finance, Clayton, Vic 3800, Australia
[3] Univ Queensland, UQ Business Sch, Brisbane, Qld 4072, Australia
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2010年 / 18卷 / 03期
关键词：
Asset pricing; Volatility asymmetry; Market spillovers; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; STOCK MARKETS; EMPIRICAL-EVIDENCE; GENERALIZED ARCH; ASSET RETURNS; MODELS; HETEROSKEDASTICITY; TRANSMISSION; INFORMATION;
D O I：
10.1016/j.pacfin.2009.09.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：272 / 289
页数：18
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