International Journal of Business and Economics Volume 10, No. 1 April, 2011

The Volatility Spillover from the Market to Disaggregated Industry Stocks: The Case for the US and UK

Tomoe Moore

Centre for Empirical Finance, Department of Economics and Finance, Brunel University, U.K.

Abstract

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 UK, while some industries are more sensitive to market volatility in a bear market than others, these disaggregated sectors are broadly affected in a similar way in a bull market. The volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting international integration for these sectors.

Keywords：volatility of stock returns, market returns, disaggregated industry stocks, GARCH.

JEL Classifications：C1, G1.

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