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Tho D.Q. Nguyen and Jian Wu
''Spillover impacts of the US macroeconomic news: Australian sectoral perspective''
( 2010, Vol. 30 No.3 )
We study the spillover effects of the US macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contractionary from the US raises the conditional mean, and most news elicits the associated volatility in the Australian stock markets. While the US news has been absorbed relatively quickly on the conditional mean, the volatility impact speed is unclear. More importantly, we reveal that the US GDP news has the strongest impact on both the first two moments of the Australian daily returns and help reduce volatility in the latter market.
Keywords: Spillover effects; Macroeconomic news; Australia stock markets; EGARCH
JEL: F3 - International Finance: General
Manuscript Received : Feb 15 2010 Manuscript Accepted : Jul 12 2010

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