Zhuhua Jiang, Rim El Khoury, Muneer M. Alshater, Seong-Min Yoon
{"title":"Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet-based analysis","authors":"Zhuhua Jiang, Rim El Khoury, Muneer M. Alshater, Seong-Min Yoon","doi":"10.1111/1467-8454.12299","DOIUrl":null,"url":null,"abstract":"<p>This study investigates the spillover dynamics among 10 Australian sectoral indices and their connectedness to global factors, including the WTI crude oil price, oil market volatility, Australian exchange rate, U.S. stock market volatility index and Infectious Disease Tracker Index. Using data from May 14, 2007 to March 31, 2022, this study applies the time-varying parameter vector autoregressive model to study their static and dynamic connectedness, wavelet coherence analysis to investigate the time-frequency co-movement of global macroeconomic factors with Australian sector stock indices and wavelet decomposition-based Granger causality. The results show that aggressive stocks (Industrials, Consumer Discretionary and Financials) are net transmitters, while defensive stocks (Health, Information Technology, Communication and Utilities) are net receivers of spillovers. The coronavirus pandemic has increased systemic risk, causing radical changes in net connectedness. Additionally, global macroeconomic factors drive the connectedness of the Australian sectoral indices, with oil and exchange rates moving in phase, and oil volatility, stock volatility and the Infectious Disease Tracker Index moving in antiphase. Global stock and oil market volatility has a significant impact on the Australian sector's returns over short-, medium- and long-term horizons. This study provides valuable insights to investors and policymakers by carefully examining the relationships between global factors and Australian sectoral indices.</p>","PeriodicalId":46169,"journal":{"name":"Australian Economic Papers","volume":"63 1","pages":"78-105"},"PeriodicalIF":1.2000,"publicationDate":"2023-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Australian Economic Papers","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/1467-8454.12299","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This study investigates the spillover dynamics among 10 Australian sectoral indices and their connectedness to global factors, including the WTI crude oil price, oil market volatility, Australian exchange rate, U.S. stock market volatility index and Infectious Disease Tracker Index. Using data from May 14, 2007 to March 31, 2022, this study applies the time-varying parameter vector autoregressive model to study their static and dynamic connectedness, wavelet coherence analysis to investigate the time-frequency co-movement of global macroeconomic factors with Australian sector stock indices and wavelet decomposition-based Granger causality. The results show that aggressive stocks (Industrials, Consumer Discretionary and Financials) are net transmitters, while defensive stocks (Health, Information Technology, Communication and Utilities) are net receivers of spillovers. The coronavirus pandemic has increased systemic risk, causing radical changes in net connectedness. Additionally, global macroeconomic factors drive the connectedness of the Australian sectoral indices, with oil and exchange rates moving in phase, and oil volatility, stock volatility and the Infectious Disease Tracker Index moving in antiphase. Global stock and oil market volatility has a significant impact on the Australian sector's returns over short-, medium- and long-term horizons. This study provides valuable insights to investors and policymakers by carefully examining the relationships between global factors and Australian sectoral indices.
期刊介绍:
Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.