Econometrics | |
Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States | |
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.
【 预 览 】
Files | Size | Format | View |
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RO202003190014246ZK.pdf | 606KB | download |