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Volatility links between US industries

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2016-12-15T07:51:22Z
dc.date.available 2016-12-15T07:51:22Z
dc.date.copyright 2013 en_US
dc.identifier.issn 0960-3107 en_US
dc.identifier.uri http://hdl.handle.net/10725/4946
dc.description.abstract This article investigates volatility linkages across 30 US industries in terms of volatility leadership impact and interdependence dynamics. The volatility spillover index of Diebold and Yilmaz (2009 Diebold, F. X. and Yilmaz, K. 2009. Measuring financial asset return and volatility spillovers, with application to global equity markets. Economic Journal, 119: 158–71. [CrossRef], [Web of Science ®] ) is used to uncover industries that show leadership in volatility and to measure the impacts of leading industries on lagging industries. I find that a leader is also a follower, which results into a web of complex relationships in volatility spillovers. Nevertheless, I identify the business equipment, the manufacturing and the financial intermediation industry as the main leading industries through which the entire economic system can be either stimulated when the economy is contracting or cooled when the economy is expanding. en_US
dc.language.iso en en_US
dc.title Volatility links between US industries en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal Applied Financial Economics en_US
dc.journal.volume 23 en_US
dc.journal.issue 15 en_US
dc.article.pages 1273-1286 en_US
dc.keywords Industry volatility en_US
dc.keywords Granger-causality en_US
dc.keywords Volatility spillovers en_US
dc.keywords Volatility en_US
dc.identifier.doi http://dx.doi.org/10.1080/09603107.2013.804159 en_US
dc.identifier.ctation Ben Sita, B. (2013). Volatility links between US industries. Applied Financial Economics, 23(15), 1273-1286. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.tandfonline.com/doi/abs/10.1080/09603107.2013.804159 en_US
dc.author.affiliation Lebanese American University en_US


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