Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach

Yang Hou and Steven Li

Economic Modelling, 2016, vol. 52, issue PB, 884-897

Abstract: The Chinese stock market and its impacts on other stock markets have attracted a lot of attention and have been of a great concern to many countries. This paper aims to shed light on the issue by examining the information transmission between the S&P 500 and the CSI 300 index futures markets. The empirical results reveal that news from one market significantly affects the volatilities of open prices of the other and the impact from U.S. to China is stronger than the other way round. Further, past news of the U.S. has a significant impact on the volatilities of daily trading in China, but not vice versa. These findings indicate that the U.S. stock index futures market is more efficient in impounding information from other markets.

Keywords: Information transmission; Asymmetric DCC GARCH; Stock index futures market; Chinese and U.S. stock markets (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:52:y:2016:i:pb:p:884-897

DOI: 10.1016/j.econmod.2015.10.025

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