Volatility Spillovers of Stock Markets between China and the Countries along the Belt and Road

Wanbo Lu, Yuxuan Gao and Xiaoyi Huang

Emerging Markets Finance and Trade, 2019, vol. 55, issue 14, 3311-3331

Abstract: This article intensively studies the stock market volatility spillover effects between China and the countries along the Belt and Road (B&R) based on the covered selection of Morgan Stanley Capital International Inc (MSCI) index by using multiplicative error model to measure stock market volatility with daily price range. The results show that during the whole sample period, there are bilateral linkages of volatility between the stock markets of China and all of B&R countries. Most of B&R and China’s markets are sensitive to positive news but the asymmetry is trivial. Financial crisis intensified the volatility spillover effects across countries while the markets’ volatilities tend to be influenced by the negative shocks from foreign markets. The B&R markets as risk absorbers exhibit significant sensitivities to the negative news from Chinese market during the crisis period.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:55:y:2019:i:14:p:3311-3331

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DOI: 10.1080/1540496X.2019.1570496

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