Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States (original) (raw)
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Volatility spillovers between the Chinese and world equity markets
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Journal of Chinese Economic and Business Studies, 2010
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost equal during the Chinese stock market crash and the US financial crisis. Regarding hedge ratios, fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk management.
VOLATILITY SPILLOVER: MEASURING THE TRANSMISSION BETWEEN USA AND CHINESE FINANCIAL MARKETS
Given the increased financial integration and recent economic uncertainties in USA and China, this paper studied the financial return and volatility spillover from USA to China by utilizing daily returns from the S&P 500 and Shanghai Composite Index respectively from May 2008 to June 2016. To measure spillovers, a two-step method was applied based on univariate Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroskedasticity (ARMA-GARCH) models. It was concluded that there are positive and significant return and volatility spillovers from US to Chinese equity markets during the sample period. The results were compared with findings from recent literature and portfolio diversification issues were briefly discussed.
Return and volatility spillover across equity markets between China and Southeast Asian countries
Journal of Economics, Finance and Administrative Science, 2019
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Journal of Risk and Financial Management
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights ...
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