Please use this identifier to cite or link to this item:
https://hdl.handle.net/1959.11/14613
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Valadkhani, Abbas | en |
dc.contributor.author | Chen, George | en |
dc.date.accessioned | 2014-04-09T12:03:00Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | International Review of Applied Economics, 28(3), p. 323-335 | en |
dc.identifier.issn | 1465-3486 | en |
dc.identifier.issn | 0269-2171 | en |
dc.identifier.uri | https://hdl.handle.net/1959.11/14613 | - |
dc.description.abstract | This paper examines the dynamic and switching effects of volatility spillovers arising from US stock market returns and GDP growth on those of Australia, Canada and the UK. For this purpose, we use quarterly data (1961q1-2013q1) and a constant probability Markov regime switching model. We found that the US stock market volatility significantly affects the stock market volatility of all three countries at least in one of the two specified regimes over time. However, the stock market volatilities in none of the three countries are contemporaneously influenced by the US output volatility even after allowing for two distinct regimes. On the other hand, the US stock market volatility exerts significant influences on the output volatilities of both Australia and the UK. Compared with Australia and the UK, Canada and the US show substantial output volatility co-movements, thereby confirming the close association between the two neighbouring economies through the NAFTA (North American Free Trade Agreement). We conclude that shocks emanating from the US stock market have unequivocal flow-on effects on the output and return volatilities of the other economies. | en |
dc.language | en | en |
dc.publisher | Routledge | en |
dc.relation.ispartof | International Review of Applied Economics | en |
dc.title | An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries | en |
dc.type | Journal Article | en |
dc.identifier.doi | 10.1080/02692171.2013.872085 | en |
dc.subject.keywords | Macroeconomics (incl Monetary and Fiscal Theory) | en |
local.contributor.firstname | Abbas | en |
local.contributor.firstname | George | en |
local.subject.for2008 | 140212 Macroeconomics (incl Monetary and Fiscal Theory) | en |
local.subject.seo2008 | 910103 Economic Growth | en |
local.profile.school | UNE Business School | en |
local.profile.school | UNE Business School | en |
local.profile.email | avaladk2@une.edu.au | en |
local.profile.email | gchen2@une.edu.au | en |
local.output.category | C1 | en |
local.record.place | au | en |
local.record.institution | University of New England | en |
local.identifier.epublicationsrecord | une-20140401-152639 | en |
local.publisher.place | United Kingdom | en |
local.format.startpage | 323 | en |
local.format.endpage | 335 | en |
local.identifier.scopusid | 84896100358 | en |
local.peerreviewed | Yes | en |
local.identifier.volume | 28 | en |
local.identifier.issue | 3 | en |
local.contributor.lastname | Valadkhani | en |
local.contributor.lastname | Chen | en |
dc.identifier.staff | une-id:avaladk2 | en |
dc.identifier.staff | une-id:gchen2 | en |
local.profile.orcid | 0000-0002-8519-9340 | en |
local.profile.role | author | en |
local.profile.role | author | en |
local.identifier.unepublicationid | une:14828 | en |
local.identifier.handle | https://hdl.handle.net/1959.11/14613 | en |
dc.identifier.academiclevel | Academic | en |
dc.identifier.academiclevel | Academic | en |
local.title.maintitle | An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries | en |
local.output.categorydescription | C1 Refereed Article in a Scholarly Journal | en |
local.search.author | Valadkhani, Abbas | en |
local.search.author | Chen, George | en |
local.uneassociation | Unknown | en |
local.year.published | 2014 | en |
local.subject.for2020 | 380112 Macroeconomics (incl. monetary and fiscal theory) | en |
local.subject.seo2020 | 150203 Economic growth | en |
Appears in Collections: | Journal Article UNE Business School |
Files in This Item:
File | Description | Size | Format |
---|
Items in Research UNE are protected by copyright, with all rights reserved, unless otherwise indicated.