 Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indicesJunbo Huang, Huiting Tian and Weibing Shen International Review of Financial Analysis, 2023, vol. 87, issue C Abstract: This study investigated the NYSE and NASDAQ composite indices' return and volatility spillover on 37 Chinese A-share indices. We used data from 2010 to 2022 with Multiplicative-Heteroskedasticity-GARCHX and rolling window analysis. We also applied a vector autoregression and impulse response analysis to study the relationship between the spillover effect and market return or volume condition. We found that: (1) the spillover effect of U.S. stocks can be quickly and mostly absorbed by the A-share market in the next trading day; (2) the dissimilarity of constituents among A-share indices contributes to the differences in the NYSE and NASDAQ spillover effects; (3) the spillover becomes more significant and prominent when the market performance is poor or when some special events occurred. Keywords: Spillover effect; Stock market; Sentiment contagion; Investment; International finance (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001606 DOI: 10.1016/j.irfa.2023.102644 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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