Moore, Tomoe - In: International Journal of Business and Economics 10 (2011) 1, pp. 61-68
This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the...
