Return and Volatility Spillover across stock markets of China and its Major Trading Partners: Evidence from Shanghai Stock Exchange Crash
This study analyses the return and volatility spillover effects of Shanghai Stock Exchange (SSE) crash to its Major Trading Partners (MTPs) - U.S.A. (S&P 500), Germany (DAX), Japan (Nikkei 225), South Korea (KOSPI), and Hong Kong (HSI) - using Diebold and Yilmaz (2012) spillover index model. The...
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Published in | Business & economic review (Online) Vol. 10; no. 3; pp. 1 - 20 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Peshawar
Institute of Management Sciences
10.09.2018
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Subjects | |
Online Access | Get full text |
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Abstract | This study analyses the return and volatility spillover effects of Shanghai Stock Exchange (SSE) crash to its Major Trading Partners (MTPs) - U.S.A. (S&P 500), Germany (DAX), Japan (Nikkei 225), South Korea (KOSPI), and Hong Kong (HSI) - using Diebold and Yilmaz (2012) spillover index model. The findings indicate the presence of increased return and volatility spillover between SSE and stock exchanges of MTPs during the sample period. The return spillover transmission is found to be higher than the volatility spillover transmission. Results also highlighted low level of return and volatility spillover from SSE to the stock markets of U.S.A. and Germany. Evidence of high integration between SSE and HSI are also indicated, which promote the geographical proximity impact on financial markets integration. The low return and volatility spillover between SSE and the stock markets of U.S.A. and Germany provide useful portfolio diversification benefits for international investors. The findings of this study provide useful information to potential investors for making rational decisions regarding portfolio diversification in the periods of crisis. |
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AbstractList | This study analyses the return and volatility spillover effects of Shanghai Stock Exchange (SSE) crash to its Major Trading Partners (MTPs) - U.S.A. (S&P 500), Germany (DAX), Japan (Nikkei 225), South Korea (KOSPI), and Hong Kong (HSI) - using Diebold and Yilmaz (2012) spillover index model. The findings indicate the presence of increased return and volatility spillover between SSE and stock exchanges of MTPs during the sample period. The return spillover transmission is found to be higher than the volatility spillover transmission. Results also highlighted low level of return and volatility spillover from SSE to the stock markets of U.S.A. and Germany. Evidence of high integration between SSE and HSI are also indicated, which promote the geographical proximity impact on financial markets integration. The low return and volatility spillover between SSE and the stock markets of U.S.A. and Germany provide useful portfolio diversification benefits for international investors. The findings of this study provide useful information to potential investors for making rational decisions regarding portfolio diversification in the periods of crisis. |
Audience | Trade |
Author | Gulzar, Saqib Qarni, Muhammad Owais |
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CitedBy_id | crossref_primary_10_1016_j_pacfin_2022_101722 crossref_primary_10_1016_j_gfj_2021_100691 crossref_primary_10_1016_j_physa_2020_125416 crossref_primary_10_1016_j_ribaf_2021_101477 crossref_primary_10_1186_s40854_021_00233_5 crossref_primary_10_1007_s10663_019_09437_6 crossref_primary_10_1016_j_qref_2021_04_001 |
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SubjectTerms | Banking industry Communication Diversification Economic growth Financial analysis Financial markets Global economy International economic relations International finance International trade Investments Investors Retirement benefits Securities analysis Securities industry Securities markets Stock exchanges Stock market crashes Stock market indexes Stock markets Stocks Volatility |
Title | Return and Volatility Spillover across stock markets of China and its Major Trading Partners: Evidence from Shanghai Stock Exchange Crash |
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