Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches |
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Authors: | Gyu-Hyen Moon |
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Institution: | Department of Business Administration , Kyonggi University , San 94-6, Lui-Dong, Yeongtong-Gu, Suwon, 443-760, Korea |
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Abstract: | 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. |
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Keywords: | Volatility spillover China stock market structural break GARCH model |
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