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, Australia.
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: Abhay K. Singh
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University.
Title: Volatility Spillovers from Australia's major trading 
 partners across the GFC 
Abstract: This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, 
	Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures 
	the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The 
	Shanghai composite and the Hangseng. (In the case of China, as both China and Hong Kong appear in Australian trade 
	statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009) Spillover Index, 
	constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis 
	confirms that the US and Hong Kong markets have the greatest in uence on the Australian one. We then move to a GARCH 
	framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and 
	Chinese market, as represented by the Hang Seng Index.
Classification-JEL: G11, C02.
Keywords: Volatility Spillover Index, VAR analysis, Variance Decomposition, Cholesky-GARCH.
Length: 26 pages
Creation-Date: 2014-26 
Number: 2014-26 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1426.txt
File-URL: https://eprints.ucm.es/id/eprint/26496/1/1426.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1426