Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States
Hassan Mohammadi; Yuting Tan · 2015 · Econometrics
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract
Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional ARCH and GARCH effects from the U.S. to the other three markets; (3) correlations of returns vary across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation o
Abstract by Hassan Mohammadi; Yuting Tan, Econometrics (2015) — licensed CC BY 4.0.
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Metadata source: OpenAlex · DOI 10.3390/econometrics3020215