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Business-Linkage Volatility Spillovers Between US Industries

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

Authors

Linh Xuan

Diep Nguyen

Simona Mateut simona.mateut@nottingham.ac.uk.telephone:44-115-8468122.fax:44-115-8466667.

Thanaset Chevapatrakul chevapatrakul:thanaset.chevapatrakul@nottingham.ac.uk



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.

Journal Article Type Article
Publication Date 2020-02
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
APA6 Citation Xuan, L., Nguyen, D., Mateut, S., & Chevapatrakul, T. (2020). Business-Linkage Volatility Spillovers Between US Industries. Journal of Banking and Finance, 111, https://doi.org/10.1016/j.jbankfin.2019.105699
DOI https://doi.org/10.1016/j.jbankfin.2019.105699
Keywords Asset pricing; Stock markets; Volatility spillovers; Multivariate GARCH; Input-Output linkages
Publisher URL https://www.sciencedirect.com/science/article/pii/S0378426619302730
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