Please use this identifier to cite or link to this item:
Title: The volatility spillover from the market to disaggregated industry stocks: the case for the US and UK
Authors: Moore, T
Keywords: Volatility of stock returns;Market returns;Disaggregated industry stocks;GARCH
Issue Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 09-38
Abstract: This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the UK, whilst some industries are more sensitive to market volatility in a bear market than others, these disaggregated sectors are broadly affected in a similar way in a bull market. The volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting the international integration for these sectors.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
0938a[1].pdf125.91 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.