Volatility spillover between the US, Chinese and Australian stock markets

Stock market volatility spillover between the United States, China and Australia - industry data - channels through which volatility is transmitted - significant bilateral causality between the countries at the market index level - across most industries for the full sample period from July 2007 to May 2016 - one-way volatility spillover from the United States to China - insignificant volatility spillover from the Australian to Chinese stock markets.