Return and Volatility Spillovers Between the Foreign Exchange Market and the Australian all Ordinaries Index

This paper uses a Vector Autoregressive GARCH (VAR-GARCH) model to examine the return and volatility spillover effects between the US dollar/Australian dollar (USD/AUD) exchange rate and the Australian All Ordinaries Index (AOI). The findings provide evidence of unidirectional return and volatility spillover effects from the USD/AUD to the AOI. These findings have important implications for investors when making optimal investment and hedging strategies.