【摘 要】
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This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020.We use the d
【机 构】
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School of Economics and Management,Tsinghua University,Beijing 100084,China;National School of Devel
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This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020.We use the dynamic conditional correlation(DCC)and asymmetric Baba-Engle-Kraft-Kroner(BEKK)GARCH models to calculate the time-varying correlations of these two markets and examine the return and volatility spillover effects between these two markets.The empirical results show that there are only unidirectional return spillovers from the U.S.stock market to the Chinese stock market.The U.S.stock market has a consistently positive spillover to China's next day's morning trading,but its impact on China's next day's afternoon trading appears to be insignificant.This finding implies that information in the U.S.stock market impacts the performance of the Chinese stock market differently in distinct semi-day trading.Moreover,with respect to the volatility,there are significant bidirectional spillover effects between these two markets.
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