Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Artikel

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional ARCH and GARCH effects from the US to the other three markets; (3) correlations of returns vary across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the US and China's two markets; thus, international investors may benefit by allocating their assets in China's markets; (4) the patterns of dynamic conditional correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent financial crisis of 2007.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 2 ; Pages: 215-232 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Financial Markets ; Financial Forecasting and Simulation
• Thema: stock markets ; multivariate GARCH ; BEKK ; CCC ; DCC ; dynamic correlation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Mohammadi, Hassan ; Tan, Yuting
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2015

Weitere Informationen

• DOI: doi:10.3390/econometrics3020215
• Handle: http://hdl.handle.net/10419/171824
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ