e-journal

The paradox of China’s international stock market co-movement

---

The purpose of this paper is to examine the daily and overnight volatility spillover effects
in common stock prices between China and G5 countries and explain their implications on the basis
of empirical results.
Design/methodology/approach – The analysis utilizes the exponential generalized autoregressive
conditional heteroskedasticity (EGARCH) model, the cross-correlation function approach, and
realized volatility for daily and intraday stock price data that cover the period from January 5, 2004 to
December 31, 2007.
Findings – Principally, the paper concludes the following: strong evidence of short-run one-way
volatility spillover effects from China to the US, UK, German and French stock markets is observed
and the test results indicate that Chinese investors were not rational and China’s stock market entered
a speculative bubble period after the second half of 2006.
Originality/value – Contrary to widespread belief, the empirical results suggest that a small (China)
stock market has significant influence on a large (G5) stock market but not vice versa. This paradox
is interpreted as a particular phenomenon existing together with the rapid economic development and
severe capital regulation in China.

Keywords Stock markets, Volatility, Information systems, China

---

Ketersediaan

Tidak ada salinan data

Informasi Detail

Judul Seri

Journal of Chinese Economic and Foreign Trade Studies

No. Panggil

-

Penerbit

: Emerald Group., 2010

Deskripsi Fisik

Journal of Chinese Economic and Foreign Trade Studies Vol. 3 No. 3, 2010

Bahasa

English

ISBN/ISSN

-

Klasifikasi

-

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

EKONOMI

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Asmawati/Syahrial

Versi lain/terkait

Lampiran Berkas

Komentar

---

Anda harus masuk sebelum memberikan komentar