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Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches

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Author Info

  • Gyu-Hyen Moon
  • Wei-Choun Yu

Abstract

The 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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File URL: http://www.tandfonline.com/doi/abs/10.1080/1226508X.2010.483834
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Global Economic Review.

Volume (Year): 39 (2010)
Issue (Month): 2 ()
Pages: 129-149

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Handle: RePEc:taf:glecrv:v:39:y:2010:i:2:p:129-149

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Related research

Keywords: Volatility spillover; China stock market; structural break; GARCH model;

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Cited by:
  1. Michael McAleer & David Allen & Ron Amram, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," KIER Working Papers 805, Kyoto University, Institute of Economic Research.
  2. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
  3. 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.
  4. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
  5. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 37(C), pages 89-102.

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