Study on the spatial spillover effects for China concept shares (CCSs)

Xiang-yun Liu, Bin Shi, Shang-guo Ma and Bo Qin

International Journal of Business Innovation and Research, 2013, vol. 7, issue 5, 536-553

Abstract: This paper attempts to study the spatial spillover effects between China concept shares (CCSs) and both domestic (China) and non-domestic local listing (Hong Kong, USA) stock markets. Explanations on how spatial spillover effect works are provided from fundamental, macroeconomic and fund-flow perspectives. They are summarised as the reference effect in domestic market and asset's spatial effects (including spatial dependence and spatial heterogeneity) between CCS and the local listing stock market. The existence and dynamics of mean spillover and volatility spillover effects are studied based on VAR and multivariate BEKK-GARCH models.

Keywords: China concept shares; CCSs; mean spillover; volatility spillover; VAR model; BEKK-GARCH model; China; Hong Kong; USA; United States; stock markets; spatial spillover effect. (search for similar items in EconPapers)
Date: 2013
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