Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

Hassan Mohammadi and Yuting Tan
Additional contact information
Yuting Tan: Department of Economics, Illinois State University, Normal, IL 61761-4200, USA

Econometrics, 2015, vol. 3, issue 2, 1-18

Abstract: Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional ARCH and GARCH effects from the U.S. to the other three markets; (3) correlations of returns vary across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the U.S. and China’s two markets; thus, international investors may benefit by allocating their assets in China’s markets; (4) the patterns of dynamic conditional correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent financial crisis of 2007.

Keywords: stock markets; multivariate GARCH; BEKK; CCC; DCC; dynamic correlation (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.mdpi.com/2225-1146/3/2/215/pdf (application/pdf)
https://www.mdpi.com/2225-1146/3/2/215/ (text/html)

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:gam:jecnmx:v:3:y:2015:i:2:p:215-232:d:47668

Access Statistics for this article

Econometrics is currently edited by Ms. Jasmine Liu

More articles in Econometrics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().