Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet-based analysis

IF 1.2 4区 经济学 Q3 ECONOMICS
Zhuhua Jiang, Rim El Khoury, Muneer M. Alshater, Seong-Min Yoon
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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.

全球宏观经济因素对澳大利亚部门市场溢出效应的影响:基于小波分析的新发现
本研究探讨了澳大利亚 10 个行业指数之间的溢出动态及其与 WTI 原油价格、石油市场波动、澳大利亚汇率、美国股市波动指数和传染病追踪指数等全球因素的关联性。本研究使用 2007 年 5 月 14 日至 2022 年 3 月 31 日的数据,运用时变参数向量自回归模型研究其静态和动态关联性,运用小波相干性分析研究全球宏观经济因素与澳大利亚行业股票指数的时频共振,并运用基于小波分解的格兰杰因果关系。结果显示,激进型股票(工业、消费类和金融)是溢出效应的净传递者,而防御型股票(健康、信息技术、通信和公用事业)则是溢出效应的净接受者。冠状病毒大流行增加了系统性风险,导致净关联性发生急剧变化。此外,全球宏观经济因素推动了澳大利亚行业指数的关联性,石油和汇率相向而行,石油波动性、股票波动性和传染病追踪指数反向而行。全球股市和石油市场的波动对澳大利亚行业的短期、中期和长期回报都有重大影响。本研究通过仔细研究全球因素与澳大利亚行业指数之间的关系,为投资者和政策制定者提供了宝贵的见解。
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来源期刊
CiteScore
3.20
自引率
5.30%
发文量
36
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.
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