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Asymmetrical volatility spillover between the stock returns and output growth

Journal of Financial Studies

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Field Value
 
Title Asymmetrical volatility spillover between the stock
returns and output growth
 
Creator Yuan-Ming Lee
Bwo-Nung Huang
Kuan-Min Wang
 
Description This study investigates the asymmetric volatility transfers between stock return and output growth,
using the multivariate threshold vector autoregression (TVAR). Based on 30 years of data over 1975 to
2004 for 20 countries, the methods of Schwert (1989) and Brooks (2002) are employed to estimate the
volatilities of five variables including stock return, output growth, inflation rate, interest rate and
monetary growth. When utilizing the unexpected stock return as the threshold variable to reflect the
positive and negative shock, the volatility spillover from output growth rates to stock returns and vise
versa are evident in most countries, and furthermore, the mutual feedback is obvious in some countries.
These phenomena mostly occur when the unexpected stock returns are smaller than the threshold value,
which indicates that the output risks could be used to forecast the stock risks and vise versa during the
transpiration of negative shock.

Key words: Stock Return Volatility, Economic Growth Volatility, Threshold Vector Autoregressive, Volatility Spillover
 
Publisher Journal of Financial Studies
財務金èžå­¸åˆŠ
 
Date 2011-05-27
 
Type —
 
Format application/pdf
 
Identifier http://www.jfs.org.tw/index.php/jfs/article/view/2011125
 
Source Journal of Financial Studies; Vol 16, No 4 (2008); 167
財務金èžå­¸åˆŠ; Vol 16, No 4 (2008); 167
 
Language —