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 GARCH (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.
JEL Classification:G11, G12
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Fang, V., Lee, V.C.S., Lim, Y.C. (2005). Volatility Transmission Between Stock and Bond Markets: Evidence from US and Australia. In: Gallagher, M., Hogan, J.P., Maire, F. (eds) Intelligent Data Engineering and Automated Learning - IDEAL 2005. IDEAL 2005. Lecture Notes in Computer Science, vol 3578. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11508069_75
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DOI: https://doi.org/10.1007/11508069_75
Publisher Name: Springer, Berlin, Heidelberg
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