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Business-Linkage Volatility Spillovers Between US Industries

Xuan, Linh; Nguyen, Diep; Mateut, Simona; Chevapatrakul, Thanaset

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Linh Xuan

Diep Nguyen


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.


Xuan, L., Nguyen, D., Mateut, S., & Chevapatrakul, T. (2020). Business-Linkage Volatility Spillovers Between US Industries. Journal of Banking and Finance, 111, Article 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
Keywords Asset pricing; Stock markets; Volatility spillovers; Multivariate GARCH; Input-Output linkages
Public URL
Publisher URL
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:; Content Type: article; Copyright: © 2019 Elsevier B.V. All rights reserved.


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