Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches
AbstractThe paper examines the short-run spillover effects of daily stock returns and volatilities between the Standard & Poor's (S&P) 500 stock index in the US and the Shanghai Stock Exchange (SSE) index in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified general autoregressive conditional heteroscedasticity (GARCH)(1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the US to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the US in the post-break period.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Global Economic Review.
Volume (Year): 39 (2010)
Issue (Month): 2 ()
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- David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh, 2013.
"Volatility Spillovers from the US to Australia and China across the GFC,"
Tinbergen Institute Discussion Papers
13-009/III, Tinbergen Institute, revised 01 Feb 2013.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012. "Volatility Spillovers from the US to Australia and China across the GFC," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
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