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Volatility links between US industries

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  • Bernard Ben Sita

Abstract

This article investigates volatility linkages across 30 US industries in terms of volatility leadership impact and interdependence dynamics. The volatility spillover index of Diebold and Yilmaz (2009) is used to uncover industries that show leadership in volatility and to measure the impacts of leading industries on lagging industries. I find that a leader is also a follower, which results into a web of complex relationships in volatility spillovers. Nevertheless, I identify the business equipment, the manufacturing and the financial intermediation industry as the main leading industries through which the entire economic system can be either stimulated when the economy is contracting or cooled when the economy is expanding.

Suggested Citation

  • Bernard Ben Sita, 2013. "Volatility links between US industries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1273-1286, August.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1273-1286
    DOI: 10.1080/09603107.2013.804159
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    References listed on IDEAS

    as
    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    2. Md. Arifur Rahman, 2009. "Industry-level stock returns volatility and aggregate economic activity in Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 509-525.
    3. José-Miguel Gaspar, 2006. "Idiosyncratic Volatility and Product Market Competition," The Journal of Business, University of Chicago Press, vol. 79(6), pages 3125-3152, November.
    4. Engle, Robert F. & White (the late), Halbert (ed.), 1999. "Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger," OUP Catalogue, Oxford University Press, number 9780198296836, Decembrie.
    5. Paul J. Irvine & Jeffrey Pontiff, 2009. "Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1149-1177.
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    Cited by:

    1. Klaus Grobys & Sami Vähämaa, 0. "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-21.
    2. Ngene, Geoffrey M., 2021. "What drives dynamic connectedness of the U.S equity sectors during different business cycles?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    3. Klaus Grobys & Sami Vähämaa, 2020. "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1459-1479, November.
    4. Ben Sita, Bernard, 2018. "Estimating the beta-return relationship by considering the sign and the magnitude of daily returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 28-35.
    5. Abosedra, Salah & Arayssi, Mahmoud & Ben Sita, Bernard & Mutshinda, Crispin, 2020. "Exploring GDP growth volatility spillovers across countries," Economic Modelling, Elsevier, vol. 89(C), pages 577-589.

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