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Spillover Effects of Chinese Stock Markets

Author

Listed:
  • Ginny ju-ann Yang

    () (Department of Money and Banking, National Kaohsiung First University of Science and Technology)

  • Koyin Chang

    () (Department of Healthcare Information and Management, Ming Chuan University)

  • Yung-Hsiang Ying

    () (Undergraduate Program of Business Administration, National Taiwan Normal University)

  • Chen-hsun Lee

    () (Department of Money and Banking, National Kaohsiung First University of Science and Technology)

Abstract

This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets. Our results show that cross-sectional interdependence is apparent in Chinese stock markets; however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.

Suggested Citation

  • Ginny ju-ann Yang & Koyin Chang & Yung-Hsiang Ying & Chen-hsun Lee, 2014. "Spillover Effects of Chinese Stock Markets," Economics Bulletin, AccessEcon, vol. 34(1), pages 200-205.
  • Handle: RePEc:ebl:ecbull:eb-13-00476
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I1-P21.pdf
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    References listed on IDEAS

    as
    1. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
    2. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    3. Angelos Kanas, 2002. "Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries," The Financial Review, Eastern Finance Association, vol. 37(2), pages 137-163, May.
    4. Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    7. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
    8. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
    9. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
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    Cited by:

    1. Kaiyan Luo & Xingping Zhang & Qinliang Tan, 2016. "Novel Role of Rural Official Organization in the Biomass-Based Power Supply Chain in China: A Combined Game Theory and Agent-Based Simulation Approach," Sustainability, MDPI, Open Access Journal, vol. 8(8), pages 1-23, August.

    More about this item

    Keywords

    cross-sectional independence test; Lagrange multiplier; non-causality in the variance;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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