Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

Econometrics

Hassan Mohammadi¹  Yuting Tan¹ 

关键词: stock markets;    multivariate GARCH;    BEKK;    CCC;    DCC;    dynamic correlation;   

DOI  :  10.3390/econometrics3020215

来源: mdpi

【 摘 要 】

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., 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 U.S. 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 U.S. 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 U.S. 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.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland.