Volatility Spillover between the US, Chinese and Australian Stock Markets

36 Pages Posted: 20 Jul 2017

See all articles by Emawtee Bissoondoyal-Bheenick

Emawtee Bissoondoyal-Bheenick

Monash University; Financial Research Network (FIRN)

Robert D. Brooks

Monash University; Financial Research Network (FIRN)

Wei Chi

Monash University - Department of Accounting

Hung Xuan Do

Massey University, Albany campus; University of Technology, Sydney

Multiple version iconThere are 2 versions of this paper

Date Written: July 16, 2017

Abstract

We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one way volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the GFC, we find significant bilateral relationship across all of the industries across the three countries.

Keywords: Volatility Spillover; Granger Causality Test; Realized Volatility, Bi-Power Variation

JEL Classification: G15

Suggested Citation

Bissoondoyal-Bheenick, Emawtee and Brooks, Robert Darren and Chi, Wei and Do, Hung Xuan, Volatility Spillover between the US, Chinese and Australian Stock Markets (July 16, 2017). Australian Journal of Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3003641

Emawtee Bissoondoyal-Bheenick

Monash University ( email )

Building H, Level 3
900 Dandenong Road
Caulfield, Victoria 3 145
Australia
+61399032957 (Phone)
+61399032422 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia 4071 Brisbane
Queensland
Australia

HOME PAGE: www.firn.org.au

Robert Darren Brooks

Monash University ( email )

Wellington Road
Clayton, Victoria 3168
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Wei Chi

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

Hung Xuan Do (Contact Author)

Massey University, Albany campus ( email )

Auckland
New Zealand
+64 92136160 (Phone)
+64 92136160 (Fax)

HOME PAGE: http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=972450

University of Technology, Sydney ( email )

PO Box 123
Broadway, 2007
Australia

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