U.S. News Spillover Effects: Sectoral Evidence

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This paper is a study of the spillover effects of U.S. macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contraction from the United States raises the conditional mean, and most news elicits associated volatility in the Australian stock ma...

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Detalles Bibliográficos
Autor: Nguyen, Anh Tho Thi
Formato: artículo
Fecha de Publicación:2011
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/194790
Enlace del recurso:https://repositorio.pucp.edu.pe/index/handle/123456789/194790
Nivel de acceso:acceso abierto
Materia:EGARCH
Macroeconomic news
Spillover effects
Stock markets
https://purl.org/pe-repo/ocde/ford#5.02.04
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spelling Nguyen, Anh Tho Thi2023-07-21T19:18:14Z2023-07-21T19:18:14Z2011https://repositorio.pucp.edu.pe/index/handle/123456789/194790This paper is a study of the spillover effects of U.S. macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contraction from the United States raises the conditional mean, and most news elicits associated volatility in the Australian stock market. We further document that different sectors respond differently to U.S. news. For example, U.S. news has the strongest effect on the first two moments of the Australian Industrials and Property Trusts stock returns and the least impact on the Materials sector. Furthermore, we document that while U.S. news has been absorbed relatively quickly on the conditional mean, the volatility impact is somewhat persistent.engPontificia Universidad Católica del Perú. CENTRUMPEurn:issn:1851-6599info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Journal of CENTRUM Cathedra, Vol. 4, Issue 1reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPEGARCHMacroeconomic newsSpillover effectsStock marketshttps://purl.org/pe-repo/ocde/ford#5.02.04U.S. News Spillover Effects: Sectoral Evidenceinfo:eu-repo/semantics/articleArtículoORIGINALJCC-4.1-50.pdfJCC-4.1-50.pdfTexto completoapplication/pdf463967https://repositorio.pucp.edu.pe/bitstreams/ca0b354b-312d-4886-9d2d-7a3dddd81c4d/download7d48390e6961f49de3f1d8c15bd00890MD51trueAnonymousREADTHUMBNAILJCC-4.1-50.pdf.jpgJCC-4.1-50.pdf.jpgIM Thumbnailimage/jpeg31973https://repositorio.pucp.edu.pe/bitstreams/a40ba345-1a45-427d-b52e-5d08ca932bf9/download009004cc18ba436ec3377edb73174596MD52falseAnonymousREADTEXTJCC-4.1-50.pdf.txtJCC-4.1-50.pdf.txtExtracted texttext/plain135496https://repositorio.pucp.edu.pe/bitstreams/ff4e85c9-32e0-4db9-9d7b-59df455e900f/download7b300455adf57d28716faca57bf0c0dbMD53falseAnonymousREAD20.500.14657/194790oai:repositorio.pucp.edu.pe:20.500.14657/1947902025-04-11 09:58:18.365http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.en_US.fl_str_mv U.S. News Spillover Effects: Sectoral Evidence
title U.S. News Spillover Effects: Sectoral Evidence
spellingShingle U.S. News Spillover Effects: Sectoral Evidence
Nguyen, Anh Tho Thi
EGARCH
Macroeconomic news
Spillover effects
Stock markets
https://purl.org/pe-repo/ocde/ford#5.02.04
title_short U.S. News Spillover Effects: Sectoral Evidence
title_full U.S. News Spillover Effects: Sectoral Evidence
title_fullStr U.S. News Spillover Effects: Sectoral Evidence
title_full_unstemmed U.S. News Spillover Effects: Sectoral Evidence
title_sort U.S. News Spillover Effects: Sectoral Evidence
author Nguyen, Anh Tho Thi
author_facet Nguyen, Anh Tho Thi
author_role author
dc.contributor.author.fl_str_mv Nguyen, Anh Tho Thi
dc.subject.en_US.fl_str_mv EGARCH
Macroeconomic news
Spillover effects
Stock markets
topic EGARCH
Macroeconomic news
Spillover effects
Stock markets
https://purl.org/pe-repo/ocde/ford#5.02.04
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.04
description This paper is a study of the spillover effects of U.S. macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contraction from the United States raises the conditional mean, and most news elicits associated volatility in the Australian stock market. We further document that different sectors respond differently to U.S. news. For example, U.S. news has the strongest effect on the first two moments of the Australian Industrials and Property Trusts stock returns and the least impact on the Materials sector. Furthermore, we document that while U.S. news has been absorbed relatively quickly on the conditional mean, the volatility impact is somewhat persistent.
publishDate 2011
dc.date.accessioned.none.fl_str_mv 2023-07-21T19:18:14Z
dc.date.available.none.fl_str_mv 2023-07-21T19:18:14Z
dc.date.issued.fl_str_mv 2011
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
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dc.language.iso.none.fl_str_mv eng
language eng
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dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.publisher.country.none.fl_str_mv PE
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.source.es_ES.fl_str_mv Journal of CENTRUM Cathedra, Vol. 4, Issue 1
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U.S. News Spillover Effects: Sectoral Evidence
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