Volatility spillovers across daytime and overnight information between China and world equity markets

Jian Hua and Bilel Sanhaji
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Jian Hua: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: This article explores the transmission of daytime and overnight information in terms of returns and volatility between Chinese and Asian, European and North American main stock markets. We propose a bivariate analysis with China as benchmark. By testing the constancy of the conditional correlations, we use an extended constant or dynamic conditional correlation GARCH model. The empirical findings show that across the daytime information transmissions, the relationships between China and Asian markets are closer than China and non-Asian markets, whereas through the overnight information transmissions these relationships are inverse. The analysis provides, before the crisis, that the overnight volatility spillover effects are from China to the United States and the United Kingdom. During the crisis, China affects the United Kingdom in terms of daytime volatility spillovers, whereas in terms of overnight volatility spillovers China affects the United States and is influenced by Japan. After the crisis, daytime volatility spillovers are from Taiwan to China, whereas the overnight volatility spillover effects are from China to the United States and the United Kingdom.

Keywords: global financial crisis; daytime returns; overnight returns; return and volatility spillovers; multivariate GARCH (search for similar items in EconPapers)
Date: 2015-05-28
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Published in Applied Economics, 2015, 47 (50), pp.5407-5431. ⟨10.1080/00036846.2015.1049335⟩

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Journal Article: Volatility spillovers across daytime and overnight information between China and world equity markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04218479

DOI: 10.1080/00036846.2015.1049335

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