Research Centre in Business, Economics & Resources, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam.
PLoS One. 2023 Jun 1;18(6):e0286528. doi: 10.1371/journal.pone.0286528. eCollection 2023.
While spillover across equity markets has been extensively investigated, volatility spillover across sectors has largely been under-examined in the current literature. This paper estimates the sectoral volatility using the ARMA-GARCH model and its spillover across Australian sectors on the VAR framework during the 2010-2021 period. We then identify breakpoints in market volatility during the Covid-19 pandemic using a wavelet methodology. We find that volatility spillover across Australian sectors is very significant at 60 per cent from 2010 to 2019, reaching 90 per cent during the Covid-19 pandemic in 2020. The spillover then reverts to its pre-pandemic level in 2021. Consumer Staples and Industrials are the significant risk transmitters, whereas Financials and Real estates are the most significant risk absorbers. Our findings also indicate that Real Estate, Health Care, and Financials record the most significant increase in volatility of more than 300 per cent. Policy implications regarding risk management across Australian sectors have emerged, particularly during extreme events such as the pandemic.
虽然已经广泛研究了股票市场之间的溢出效应,但在当前文献中,部门间的波动溢出效应在很大程度上仍未得到充分研究。本文使用 ARMA-GARCH 模型估计了部门波动性,并在 2010-2021 年期间在 VAR 框架下估计了澳大利亚各部门之间的波动溢出效应。然后,我们使用小波方法确定了新冠疫情期间市场波动的断点。我们发现,2010 年至 2019 年期间,澳大利亚各部门之间的波动溢出效应非常显著,达到 60%,2020 年新冠疫情期间达到 90%。然后,溢出效应在 2021 年恢复到疫情前的水平。消费者必需品和工业是重要的风险传播者,而金融和房地产是最重要的风险吸收者。我们的研究结果还表明,房地产、医疗保健和金融行业的波动性增长最为显著,超过 300%。在新冠疫情等极端事件期间,出现了针对澳大利亚各部门风险管理的政策影响。