Volatility spillovers from Australia's major trading partners across the GFC

David E. Allen*, Michael McAleer, Robert J. Powell, Abhay K. Singh

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)


This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 1st January 2004 to 30th June 2014. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng. (in the case of China, as both China and Hong Kong appear in Australian trade statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009) Spillover Index, constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis confirms that the US and Hong Kong markets have the greatest influence on the Australian one. We then move to a GARCH framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and Chinese market, as represented by the Hang Seng Index. We further explore three sample sub-periods, Pre-GFC 2004/1/1/ until 2007/07/08/, GFC 2007/08/09 until 2010/05/07 and Post-GFC 2010/05/10 until 2014/06/20 and analyse the behaviour of time-varying conditional correlations in these sub-periods. The GARCH analysis re-affirms the strong influence of the Hang Seng Index and the S&P500 Index.

Original languageEnglish
Pages (from-to)159-175
Number of pages17
JournalInternational Review of Economics and Finance
Publication statusPublished - 1 Jan 2017
Externally publishedYes


  • Cholesky-GARCH
  • VAR analysis
  • variance decomposition
  • Volatility Spillover Index


Dive into the research topics of 'Volatility spillovers from Australia's major trading partners across the GFC'. Together they form a unique fingerprint.

Cite this