Journal
PACIFIC-BASIN FINANCE JOURNAL
Volume 18, Issue 3, Pages 272-289Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.pacfin.2009.09.003
Keywords
Asset pricing; Volatility asymmetry; Market spillovers
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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.
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