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Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches

Gyu-Hyen Moon and Wei-Choun Yu ()

Global Economic Review, 2010, vol. 39, issue 2, 129-149

Abstract: The paper examines the short-run spillover effects of daily stock returns and volatilities between the Standard & Poor's (S&P) 500 stock index in the US and the Shanghai Stock Exchange (SSE) index in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified general autoregressive conditional heteroscedasticity (GARCH)(1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the US to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the US in the post-break period.

Keywords: Volatility spillover; China stock market; structural break; GARCH model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (32)

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DOI: 10.1080/1226508X.2010.483834

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