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

Abstract

This article empirically investigates the volatility spillover of stock returns from the_x000D_ market to disaggregated industry sectors. Seventeen sectors from the US and UK stock_x000D_ 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.