Cross-equity linkages between China and the U.S.: An application of GARCH-M-GED

Abstract

This article examines joint distribution of returns and volatility between daily stock returns in China and the U.S. from January 2006 to April 2016 employing GARCH-M-GED. Compared with the previous empirical studies which used less recent data and which found negligible evidence of volatility spillover or only unidirectional return spillover to China, the results of this analysis reveal an existence of bidirectional spillover in terms of return and volatility even though the time of impact is different. This suggests there might be a major shift in the nature of cross-market dependence between these two countries.

Document Type

Conference Proceeding

Date of Publication

2017

Location of the Work

Perth

Publisher

Edith Cowan University, School of Business & Law

School

School of Business and Law

RAS ID

26695

Comments

Do, A., Powell, R., Singh, A., & Yong., J (2017). Cross-equity linkages between China and the U.S.: An application of GARCH-M-GED. In Djajadikerta, H., Yong, J., Mat Roni, S., Ong, T., & Jogulu, U. (eds), Proceeding of 2nd Business Doctoral & Emerging Scholars Conference, Perth, pp. 40-48.

https://www.ecu.edu.au/__data/assets/pdf_file/0008/769886/2nd-Business-Doctoral-and-Emerging-Scholars-Conference_Proceedings.pdf

Copyright

free_to_read

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