Spatial linkage of volatility spillovers and its explanation across China’s interregional stock markets: a network approach

Yanshuang Li, Xintian Zhuang, Jian Wang and Zibing Dong

Applied Economics Letters, 2021, vol. 28, issue 8, 668-674

Abstract: This article investigates the spatial linkage of volatility spillovers across China’s interregional stock markets. For this purpose, we apply the GARCH–BEKK model to construct volatility network and use the QAP model to analyse the factors affecting volatility spillover linkage between regional stock markets. The results show that the volatility spillover network is highly connected, and each region’s spillover ability is related to its economic development background. Furthermore, the differences in network topological indicators, economic foundations and industrial structures between regions have a significant impact on the spatial linkage of volatility spillovers across China’s interregional stock markets.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:28:y:2021:i:8:p:668-674

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DOI: 10.1080/13504851.2020.1770676

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