Volatility Spillovers between the US and the China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches
Global Economic Review, Forthcoming
36 Pages Posted: 9 Jan 2009 Last revised: 24 Apr 2010
Date Written: March 23, 2010
Abstract
The paper examines the short-run spillover effects of daily stock returns and volatilities between the S&P 500 in the U.S. and Shanghai SSE composite in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified GARCH (1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the U.S. to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the U.S. in the post-break period.
Keywords: Volatility Spillover, China Stock Market, Structural Break, CARCH Model
JEL Classification: C22, F30, N20
Suggested Citation: Suggested Citation
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