Dean, Warren G.; Faff, Robert W.; Loudon, Geoffrey F. - In: Pacific-Basin Finance Journal 18 (2010) 3, pp. 272-289
We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period 1992-2006 using a bivariate GARCH modelling approach. Negative bond market returns spillover into lower stock market returns whereas good news originating in...