Volatility Spillovers between the US and the China Stock Markets

Download or read book Volatility Spillovers between the US and the China Stock Markets written by Gyu-Hyun Moon and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the short-run spillover effects of daily stock returns and volatilities between the Samp;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.