Spillover Effects of Chinese Stock Markets

Ginny ju-ann Yang (), Koyin Chang (), Yung-Hsiang Ying () and Chen-hsun Lee ()
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Ginny ju-ann Yang: Department of Money and Banking, National Kaohsiung First University of Science and Technology
Koyin Chang: Department of Healthcare Information and Management, Ming Chuan University
Yung-Hsiang Ying: Undergraduate Program of Business Administration, National Taiwan Normal University
Chen-hsun Lee: Department of Money and Banking, National Kaohsiung First University of Science and Technology

Economics Bulletin, 2014, vol. 34, issue 1, 200-205

Abstract: This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets. Our results show that cross-sectional interdependence is apparent in Chinese stock markets; however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.

Keywords: cross-sectional independence test; Lagrange multiplier; non-causality in the variance (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2014-02-04
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Citations: View citations in EconPapers (1)

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