Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

About this item

Title

Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the global market may have important consequences for investors in related markets. In order to capture these potential effects, we explore these issues using an Autoregressive Moving Average (ARMA) return equation. A univariate GARCH model is then adopted to...

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Format

Research paper

Research format

Working or discussion paper

Date created

2011

Creator

Allena, D.E. / Amrama, R. / McAleer, M.

URL

http://hdl.handle.net/10092/6485

Related subjects

Volatility spillovers / VARMA-GARCH / VARMA-AGARCH / Chinese stock market / Economics / Applied economics / Financial economics

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