Volatility spillovers among major U.S. companies

Abstract

PURPOSE: Volatility spillovers among leading U.S. companies have important implications for portfolio diversification, systemic stability, and risk management. The presented study investigated whether technology-driven shocks transmit beyond their own sector to influence consumer and financial firms. Eleven large U.S. companies (AAPL, AMZN, PEP, TSLA, MSFT, META, AVGO, NVDA, ADBE, NDAQ, and GOOGL) were examined in order to identify the size, direction, and significance of firm-to-firm volatility linkages.

DESIGN/METHODOLOGY/APPROACH: Daily data covering the period 2015-2024 were used. Returns and thirty-day rolling standard deviations were calculated. Pairwise Granger causality tests were applied to the volatility series. Significant relations were collated into spillover matrices to visualize the propagation of shocks across firms.

FINDINGS: Analysis revealed that volatility spillovers are concentrated within the technology sector, with META, MSFT, and NVDA identified as key transmitters. Cross-sector effects were also observed, most notably spillovers from technology into consumer and financial firms such as PEP and NDAQ. These results indicate that sector-based diversification strategies may underestimate true exposure to volatility.

PRACTICAL IMPLICATIONS: The results may be of interest to investors, risk managers, and policymakers concerned with portfolio construction, stress testing, and systemic risk oversight. The evidence suggests that firm-level spillovers should be explicitly incorporated into investment and regulatory frameworks.

ORIGINALITY/VALUE: The study contributes to the literature by shifting the spillover analysis from markets and sectors to a firm-level perspective within the U.S. mega-cap universe. The results fill an empirical gap regarding the identification of specific companies that act as volatility transmitters across sectors. The findings provide recommendations for enhancing portfolio risk controls and monitoring systemic vulnerabilities in equity markets.