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Spillover Effects of Chinese Stock Markets

Author

Listed:
  • Ginny ju-ann Yang

    (Department of Money and Banking, National Kaohsiung First University of Science and Technology)

  • Koyin Chang

    (Department of Healthcare Information and Management, Ming Chuan University)

  • Yung-Hsiang Ying

    (Undergraduate Program of Business Administration, National Taiwan Normal University)

  • Chen-hsun Lee

    (Department of Money and Banking, National Kaohsiung First University of Science and Technology)

Abstract

This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets. Our results show that cross-sectional interdependence is apparent in Chinese stock markets; however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.

Suggested Citation

  • Ginny ju-ann Yang & Koyin Chang & Yung-Hsiang Ying & Chen-hsun Lee, 2014. "Spillover Effects of Chinese Stock Markets," Economics Bulletin, AccessEcon, vol. 34(1), pages 200-205.
    • Handle: RePEc:ebl:ecbull:eb-13-00476
    as

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    References listed on IDEAS

    as
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    5. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
    6. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
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    8. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
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    Cited by:

    1. Kaiyan Luo & Xingping Zhang & Qinliang Tan, 2016. "Novel Role of Rural Official Organization in the Biomass-Based Power Supply Chain in China: A Combined Game Theory and Agent-Based Simulation Approach," Sustainability, MDPI, vol. 8(8), pages 1-23, August.

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    More about this item

    Keywords

    cross-sectional independence test; Lagrange multiplier; non-causality in the variance;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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