Cross-equity linkages between China and the U.S.: An application of GARCH-M-GED
Edith Cowan University, School of Business & Law
Place of Publication
School of Business and Law
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.