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| Volume 10, No. 1,
April 2011 |
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The Volatility Spillover from
the Market |
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to Disaggregated Industry
Stocks: The Case for the US and UK |
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| Tomoe Moore |
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Centre for Empirical Finance,
Department of Economics and Finance, Brunel University, U.K. |
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| Abstract |
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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,
while 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 international
integration for these sectors. |
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Key words:
volatility of stock returns; market returns; |
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disaggregated industry stocks; GARCH |
| JEL
classification:
G1; C1 |
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