中国金融学术研究网

所属栏目：资本市场/资产定价

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

认领作者认领作者管理权限

发布日期：2009年04月20日上次修订日期：2009年04月20日

Gyu-Hyen Moon Kyonggi University Wei-Choun Yu wyu@winona.edu Winona State University

摘要

The paper examines the short-run spillover effect 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 happened in the SSE stock return mean in December 2005. Second, 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, the symmetric volatility spillover effect from China to the U.S. is also observed in the post-break period.

展开

关键词：

Volatility Spillover China Stock Market Structural Break GARCH Model

下载论文在线阅读

复制链接

新浪微博

微信扫一扫

论文统计数据

浏览次数：
2942
下载次数：
139

相关文献

1Policy influence, Breaks and Interaction in China Stock Markets 2Consideration and Release of Trading Constraint in China Stock Market 3Empirical Test of Mortality Variety and an Extension of Lee-Carter Model 4Volatility Spillovers between the US and the China Stock Market: Structural Break Test with Symmetric and Asymmetric GARCH Approach 5Volatility Analysis for Chinese Stock Market Using GARCH Model 6Identify the Structural Break(s) and Stationarity of Chinese Stock Market Indices 7Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets