Linh Xuan
Business-Linkage Volatility Spillovers Between US Industries
Xuan, Linh; Nguyen, Diep; Mateut, Simona; Chevapatrakul, Thanaset
Authors
Diep Nguyen
SIMONA MATEUT SIMONA.MATEUT@NOTTINGHAM.AC.UK
Professor of Financial Economics
THANASET CHEVAPATRAKUL THANASET.CHEVAPATRAKUL@NOTTINGHAM.AC.UK
Associate Professor
Abstract
We examine the volatility transmission across industries and its dependence on the inter-industry business linkages. Our analysis reveals significant cross-industry volatility spillovers, which are clearly associated with the strength of the trade relationship between industries. An industry that is more important to its trade partner-as measured by the shares of inputs or revenue-tends to have stronger volatility spillovers toward its partner and it is less affected by the volatility originating from its partner. Importantly, the strength of the business relationship appears highly relevant for shock spillovers in bad market conditions and is also confirmed at the portfolio level.
Citation
Xuan, L., Nguyen, D., Mateut, S., & Chevapatrakul, T. (2020). Business-Linkage Volatility Spillovers Between US Industries. Journal of Banking and Finance, 111, Article 105699. https://doi.org/10.1016/j.jbankfin.2019.105699
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 13, 2019 |
Online Publication Date | Nov 15, 2019 |
Publication Date | 2020-02 |
Deposit Date | Nov 20, 2019 |
Publicly Available Date | May 16, 2021 |
Journal | Journal of Banking and Finance |
Print ISSN | 0378-4266 |
Electronic ISSN | 1872-6372 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 111 |
Article Number | 105699 |
DOI | https://doi.org/10.1016/j.jbankfin.2019.105699 |
Keywords | Asset pricing; Stock markets; Volatility spillovers; Multivariate GARCH; Input-Output linkages |
Public URL | https://nottingham-repository.worktribe.com/output/3343892 |
Publisher URL | https://www.sciencedirect.com/science/article/pii/S0378426619302730 |
Additional Information | This article is maintained by: Elsevier; Article Title: Business-linkage volatility spillovers between US industries; Journal Title: Journal of Banking & Finance; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.jbankfin.2019.105699; Content Type: article; Copyright: © 2019 Elsevier B.V. All rights reserved. |
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