Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen 
Author-Email: d.allen@ecu.edu.au
Author-Person: pal66 
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of 
	Economic Research, Kyoto University
Author-Name: Robert J. Powell
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Author-Name: Abhay K. Singh
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Title: Volatility Spillovers from the US to Australia and China across the GFC
Abstract: This paper features an analysis of volatility spillover eects from the US market, represented by the S&P500 
	index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th 
	September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). The 
	GARCH analysis features an exploration of whether there are any spillover eects in the mean equations as 
	well as in the variance equations. We adopt a bi-mean equation to model the conditional mean in the 
	Australian markets plus an ARMA model to capture volatility spillovers from the US. We also apply a Markov 
	Switching GARCH model to explore the existence of regime changes during this period and we also explore the 
	non-constancy of correlations between the markets and apply a moving window of 120 days of daily observations 
	to explore time-varying conditional and tted correlations. There appears to be strong evidence of regime 
	switching behaviour in the Australian market and changes in correlations between the two markets particularly 
	in the period of the GFC. We also apply a tri-variate Cholesky-GARCH model to include potential eects from 
	the Chinese market, as represented by the Hang Seng Index
Keywords: Volatility spillovers, Markov-switching GARCH, Cholesky-GARCH, Time-varying correlations.
Note: Acknowledgements: For financial support, the first author acknowledges the Australian Research Council, and 
	the third author is most grateful to the Australian Research Council, National Science Council, Taiwan, and 
	the Japan Society for the Promotion of Science.
Length: 16 pages 
Creation-Date: 2012-12  
Number: 2012-30 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1230.txt
File-URL: https://eprints.ucm.es/id/eprint/17574/1/1230.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1230