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Volatility Contagion Among Stock, Currency, And Bulk Shipping Market During The China’S Stock Market Crash Crisis

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  • ARTHUR JIN LIN

    (Graduate Institute of International Business, National Taipei University, No. 151, Daxue Road, Sanxia District, New Taipei City 23741 Taiwan (R.O.C.), Taiwan)

Abstract

Six financial markets were verified contagious to Shanghai Stock Exchange Composite (SSEC): domestic equity market (SSEC and China COSCO Shipping Co.), domestic currency market, international currency market, global shipping market, commodity future market and bulk shipping market (BDI) which regarded as a leading indicator of future economic growth instead of Li Keqiang index. This research analyzed intermarket contagion from March 14, 2008 to March 31, 2018. MIDAS-GARCH model was adopted to identify the spillover effect among the Shanghai Stock market and inter-market indices. The findings of this study were concluded as follows: (1) The commodity, global shipping market had significant volatility transmission to SSEC both before and after the crash crisis. (2) The volatility of domestic currency market was significantly contagious to SSEC only after the crash.

Suggested Citation

  • Arthur Jin Lin, 2024. "Volatility Contagion Among Stock, Currency, And Bulk Shipping Market During The China’S Stock Market Crash Crisis," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(06), pages 1995-2012, September.
    • Handle: RePEc:wsi:serxxx:v:69:y:2024:i:06:n:s021759082140004x
    DOI: 10.1142/S021759082140004X
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    Keywords

    Volatility contagion effect; financial crisis; MIDAS-GARCH model; RMB; US Dollar Index (DXY); Shanghai Stock Exchange Composite Index (SSEC); SPGSCI; DJGS; Baltic Dry Index (BDI); maritime finance;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • R49 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - Other

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