VOLATILITY CONTAGION AMONG STOCK, CURRENCY, AND BULK SHIPPING MARKET DURING THE CHINA’S STOCK MARKET CRASH CRISIS

Arthur Jin Lin ()
Additional contact information
Arthur Jin Lin: Graduate Institute of International Business, National Taipei University, No. 151, Daxue Road, Sanxia District, New Taipei City 23741 Taiwan (R.O.C.), Taiwan

The Singapore Economic Review (SER), 2024, vol. 69, issue 06, 1995-2012

Abstract: Six financial markets were verified contagious to Shanghai Stock Exchange Composite (SSEC): domestic equity market (SSEC and China COSCO Shipping Co.), domestic currency market, international currency market, global shipping market, commodity future market and bulk shipping market (BDI) which regarded as a leading indicator of future economic growth instead of Li Keqiang index. This research analyzed intermarket contagion from March 14, 2008 to March 31, 2018. MIDAS-GARCH model was adopted to identify the spillover effect among the Shanghai Stock market and inter-market indices. The findings of this study were concluded as follows: (1) The commodity, global shipping market had significant volatility transmission to SSEC both before and after the crash crisis. (2) The volatility of domestic currency market was significantly contagious to SSEC only after the crash.

Keywords: Volatility contagion effect; financial crisis; MIDAS-GARCH model; RMB; US Dollar Index (DXY); Shanghai Stock Exchange Composite Index (SSEC); SPGSCI; DJGS; Baltic Dry Index (BDI); maritime finance (search for similar items in EconPapers)
JEL-codes: C22 C32 C58 C82 F21 F23 F31 F37 G01 G15 R49 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021759082140004X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:serxxx:v:69:y:2024:i:06:n:s021759082140004x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021759082140004X

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().