Volatility transmission between stock and bond markets: Evidence from US and Australia

3Citations
Citations of this article
8Readers
Mendeley users who have this article in their library.
Get full text

Abstract

This paper investigates the cross-market informational dependence between these assets under disparate interest rate conditions of the U.S and Australia. With conditional variance as a proxy for volatility, we use the BEKK - a matricular decomposition of the bivariate G ARCH (1,1) model to examine the cross-market contemporaneous effect of information arrival. Applying the model to the stock and bond indices of both countries, we find evidence of volatility spillover, thereby supporting the notion of informational dependence between each market. © Springer-Verlag Berlin Heidelberg 2005.

Cite

CITATION STYLE

APA

Fang, V., Lee, V. C. S., & Lim, Y. C. (2005). Volatility transmission between stock and bond markets: Evidence from US and Australia. In Lecture Notes in Computer Science (Vol. 3578, pp. 580–587). Springer Verlag. https://doi.org/10.1007/11508069_75

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free