Volatility Spillovers During the Chinese Stock Market Crisis: A MEM-Based Approach

Hua Chen, Domenico Tarzia, Giovanni Vittorino and Andros Gregoriou
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Hua Chen: National Council for Social Security Fund, South Tower, Building 11, Fenghuiyuan Fenghui Times Building, Xicheng District, Beijing 100032, P. R. China
Domenico Tarzia: Peking University HSBC Business School, University Town, Nanshan District, Shenzhen 518055, Guangdong, P. R. China
Andros Gregoriou: University of Brighton, Brighton, BN2 4AT, UK

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2022, vol. 25, issue 04, 1-30

Abstract: We study volatility spillovers from the Chinese A-share market to four Asia-Pacific (APAC) markets and three global markets during the Chinese stock market crisis. We make use of a nonlinear model and determine that volatility spillovers tend to be regional, posing greater risks to the region than elsewhere. We show that, during the crisis, the Chinese stock market is more integrated in the APAC region. We find no evidence of asymmetric effects and exclude short-run effects of the national team established by the Chinese authorities. We construct a volatility spillover balance and find that, during the financial turbulence, mainland China changes its status from being volatility spillover receiver to volatility generator.

Keywords: Financial contagion; multiplicative-error model; volatility spillover balance (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S021909152250031X

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