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Dynamic connectedness of major financial markets in China and America

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  • Lin, Sihan
  • Chen, Shoudong

Abstract

Since that connectedness between different financial markets has always been the focus of theoretical and empirical research, we construct several connectedness indicators to measure the information spillover in financial markets based on the TVP-SV-VAR model. Under this framework, we measure the dynamic connectedness of financial asset returns in major financial markets in China and America, with our empirical results showing that the major financial markets of China and America are highly connected and that the US stock market is at the core of information spillover. Besides, most financial markets only resonate with domestic financial markets, while a few financial markets are relatively independent.

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  • Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
    • Handle: RePEc:eee:reveco:v:75:y:2021:i:c:p:646-656
    DOI: 10.1016/j.iref.2021.04.033
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    Cited by:

    1. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    2. Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    3. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2024. "Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis," Journal of Commodity Markets, Elsevier, vol. 33(C).
    4. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    5. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    6. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.

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    More about this item

    Keywords

    Dynamic connectedness indicator TVP-SV-VAR Information spillover;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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