IDEAS home Printed from https://ideas.repec.org/r/taf/glecrv/v39y2010i2p129-149.html
   My bibliography  Save this item

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

Citations

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


Cited by:

  1. Vuong, Giang Thi Huong & Nguyen, Manh Huu & Huynh, Anh Ngoc Quang, 2022. "Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  2. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016. "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 78-92.
  3. Zhong, Yi & Liu, Jiapeng, 2021. "Correlations and volatility spillovers between China and Southeast Asian stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 57-69.
  4. 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.
  5. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
  6. Allen, David E. & Amram, Ron & McAleer, Michael, 2013. "Volatility spillovers from the Chinese stock market to economic neighbours," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 238-257.
  7. Caroline Michere Ndei & Stephen Muchina & Kennedy Waweru, 2019. "Modeling stock market return volatility in the presence of structural breaks: Evidence from Nairobi Securities Exchange, Kenya," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 8(5), pages 156-171, September.
  8. David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh, 2012. "Volatility spillovers from the US to Australia and China across the GFC," KIER Working Papers 838, Kyoto University, Institute of Economic Research.
  9. Osabuohien-Irabor Osarumwense, 2021. "Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets: A CCF approach," Journal of Economics and Management, Sciendo, vol. 43(1), pages 131-153, January.
  10. Apergis, Nicholas & Baruník, Jozef & Lau, Marco Chi Keung, 2017. "Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?," Energy Economics, Elsevier, vol. 66(C), pages 108-115.
  11. Yu, Honghai & Fang, Libing & Sun, Wencong, 2018. "Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 931-940.
  12. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
  13. Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
  14. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
  15. Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  16. 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.
  17. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
  18. 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.
  19. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
  20. Amanjot SINGH & Parneet KAUR, 2015. "Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis," Timisoara Journal of Economics and Business, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 8(1), pages 137-162, June.
  21. Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017. "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1389675-138, January.
  22. Khurram Shehzad & Xiaoxing Liu & Aviral Tiwari & Muhammad Arif & Abdul Rauf, 2021. "Analysing time difference and volatility linkages between China and the United States during financial crises and stable period using VARX‐DCC‐MEGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 814-833, January.
  23. Pan, Qunxing & Mei, Xiaowen & Gao, Tianqing, 2022. "Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  24. Emawtee Bissoondoyal-Bheenick & Robert Brooks & Wei Chi & Hung Xuan Do, 2018. "Volatility spillover between the US, Chinese and Australian stock markets," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 263-285, May.
  25. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
  26. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
  27. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.