Cross-Market Infection Research on Stock Herding Behavior Based on DGC-MSV Models and Bayesian Network

Jing Zhang, Ya-ming Zhuang and M. Irfan Uddin

Complexity, 2021, vol. 2021, 1-8

Abstract: This paper is concerned with the multivariate stochastic volatility modeling of the stock market. We investigate a DGC-t-MSV model to find the historical volatility spillovers between nine markets, including S&P, Nasdaq, SSE, SZSE, HSI, FTSE, CAC, DAX, and Nikkei indices. We use the Bayesian network to analyze the spreading of herd behavior between nine markets. The main results are as follows: (1) the DGC-t-MSV model we considered is a useful way to estimate the parameter and fit the data well in the stock market; (2) our computational analysis shows that the S&P and Nasdaq have higher volatility spillovers to the Shanghai and Shenzhen stock markets; (3) the results also show that there is a strong correlation between stock markets in the same region.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:6645151

DOI: 10.1155/2021/6645151

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