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

Warren G. Dean; Robert W. Faff; Geoffrey F. Loudon

doi:10.1016/j.pacfin.2009.09.003

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

Warren G. Dean, Robert W. Faff, Geoffrey F. Loudon

Research output: Contribution to journal › Article › peer-review

80 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	272-289
Number of pages	18
Journal	Pacific-Basin Finance Journal
Volume	18
Issue number	3
DOIs	https://doi.org/10.1016/j.pacfin.2009.09.003
Publication status	Published - 2010

Keywords

bond market
equity
stock exchanges

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10.1016/j.pacfin.2009.09.003

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abstract = "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.",

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N2 - 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.

AB - 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.

KW - bond market

KW - equity

KW - stock exchanges

UR - http://handle.uws.edu.au:8081/1959.7/uws:30157

U2 - 10.1016/j.pacfin.2009.09.003

DO - 10.1016/j.pacfin.2009.09.003

M3 - Article

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JO - Pacific-Basin Finance Journal

JF - Pacific-Basin Finance Journal

IS - 3

ER -

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

Abstract

Keywords

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