Dynamic connectedness of major financial markets in China and America

Sihan Lin and Shoudong Chen

International Review of Economics & Finance, 2021, vol. 75, issue C, 646-656

Abstract: Since that connectedness between different financial markets has always been the focus of theoretical and empirical research, we construct several connectedness indicators to measure the information spillover in financial markets based on the TVP-SV-VAR model. Under this framework, we measure the dynamic connectedness of financial asset returns in major financial markets in China and America, with our empirical results showing that the major financial markets of China and America are highly connected and that the US stock market is at the core of information spillover. Besides, most financial markets only resonate with domestic financial markets, while a few financial markets are relatively independent.

Keywords: Dynamic connectedness indicator TVP-SV-VAR Information spillover (search for similar items in EconPapers)
JEL-codes: C22 C51 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:75:y:2021:i:c:p:646-656

DOI: 10.1016/j.iref.2021.04.033

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