IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v58y2022i13p3840-3852.html
   My bibliography  Save this article

Return and Volatility Spillovers among Sector Indexes in Shanghai-Shenzhen-Hong Kong Stock Markets: Evidence from the Time and Frequency Domains

Author

Listed:
  • Wei Chen
  • Rui Li
  • Yinhong Yao

Abstract

The opening of Shanghai-Hong Kong Stock Connect (SH-HK) Program and Shenzhen-Hong Kong Stock Connect (SZ-HK) Program has changed the relationship between stock markets, and caused more challenges to the risk management and asset portfolio. Therefore, this paper applies the DY and BK methods to analyze the static and dynamic spillovers of Shanghai, Shenzhen and Hong Kong stock markets from the time and frequency perspectives. Based on 29 sector indexes from three markets ranging from June 15, 2011 to December 31, 2020, three conclusions are obtained. The implementation of the SH-HK Program and the SZ-HK Program has enhanced the spillover effects of return and volatility among Chinese Mainland stock markets and Hong Kong stock market. The Shanghai Energy, the Shanghai Material and the Shanghai Industrial are always obvious net senders of spillover, while the Hang Seng telecommunications, the Hang Seng real estate construction industry and the Hang Seng public utilities are always net receivers. The spillover mainly occurs in the short term. These results would be beneficial to risk supervision and portfolio optimization.

Suggested Citation

  • Wei Chen & Rui Li & Yinhong Yao, 2022. "Return and Volatility Spillovers among Sector Indexes in Shanghai-Shenzhen-Hong Kong Stock Markets: Evidence from the Time and Frequency Domains," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(13), pages 3840-3852, October.
    • Handle: RePEc:mes:emfitr:v:58:y:2022:i:13:p:3840-3852
    DOI: 10.1080/1540496X.2022.2072204
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2022.2072204
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2022.2072204?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tam Hoang-Nhat Dang & Nhan Thien Nguyen & Duc Hong Vo, 2023. "Sectoral volatility spillovers and their determinants in Vietnam," Economic Change and Restructuring, Springer, vol. 56(1), pages 681-700, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:58:y:2022:i:13:p:3840-3852. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.