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Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan

  • Wang, Ping
  • Wang, Peijie

In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 21 (2010)
Issue (Month): 3 ()
Pages: 304-317

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Handle: RePEc:eee:glofin:v:21:y:2010:i:3:p:304-317
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  1. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
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  6. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
  7. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
  8. John Wei, K. C. & Liu, Yu-Jane & Yang, Chau-Chen & Chaung, Guey-Shiang, 1995. "Volatility and price change spillover effects across the developed and emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 113-136, May.
  9. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
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