Information transmission across stock and bond markets: International evidence

Charlie X. Cai; Robert Faff; David Hillier; Suntharee Lhaopadchan

doi:10.1201/9781420099553

Information transmission across stock and bond markets: International evidence

Charlie X. Cai, Robert Faff, David Hillier, Suntharee Lhaopadchan

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Research › peer-review

Abstract

With respect to international volatility transmission, Eun and Shim (1989), Hamao et al. (1990), Theodossiou and Lee (1993), Lin et al. (1994), Koutmos and Booth (1995), and Koutmos (1996) have all reported strong spillovers in volatility across global equity markets. Prior research has examined the transmission of volatility based on local, regional, and global spillovers and then expanded the scope of their study to other markets. For example, Koch and Koch (1991) suggest that regional interdependencies have grown over time. Bakaert and Harvey (1997) distinguish between global and local shocks in emerging stock markets, while Ng (2000) identified Japan (the United States) as a regional (global) contributor to world equity market volatility.

Original language	English
Title of host publication	Stock Market Volatility
Editors	Greg Gregoriou
Publisher	CRC Press
Pages	293-310
Number of pages	18
ISBN (Electronic)	9781420099553
ISBN (Print)	9781420099546
DOIs	https://doi.org/10.1201/9781420099553
Publication status	Published - 1 Jan 2009
Externally published	Yes

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abstract = "With respect to international volatility transmission, Eun and Shim (1989), Hamao et al. (1990), Theodossiou and Lee (1993), Lin et al. (1994), Koutmos and Booth (1995), and Koutmos (1996) have all reported strong spillovers in volatility across global equity markets. Prior research has examined the transmission of volatility based on local, regional, and global spillovers and then expanded the scope of their study to other markets. For example, Koch and Koch (1991) suggest that regional interdependencies have grown over time. Bakaert and Harvey (1997) distinguish between global and local shocks in emerging stock markets, while Ng (2000) identified Japan (the United States) as a regional (global) contributor to world equity market volatility.",

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AB - With respect to international volatility transmission, Eun and Shim (1989), Hamao et al. (1990), Theodossiou and Lee (1993), Lin et al. (1994), Koutmos and Booth (1995), and Koutmos (1996) have all reported strong spillovers in volatility across global equity markets. Prior research has examined the transmission of volatility based on local, regional, and global spillovers and then expanded the scope of their study to other markets. For example, Koch and Koch (1991) suggest that regional interdependencies have grown over time. Bakaert and Harvey (1997) distinguish between global and local shocks in emerging stock markets, while Ng (2000) identified Japan (the United States) as a regional (global) contributor to world equity market volatility.

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Information transmission across stock and bond markets: International evidence

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