Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen 
Author-Email: d.allen@ecu.edu.au
Author-Workplace-Name: aSchool of Accounting, Finance and Economics, Edith Cowan University
Author-Name: Ron Amram
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische 
	Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University
Title: Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
Abstract: This paper examines whether there is evidence of spillovers of volatility from the Chinese stock
	market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan
	and USA. China’s increasing integration into the global market may have important consequences
	for investors in related markets. In order to capture these potential effects, we explore these issues
	using an Autoregressive Moving Average (ARMA) return equation. A univariate GARCH model
	is then adopted to test for the persistence of volatility in stock market returns, as represented by
	stock market indices. Finally, univariate GARCH, multivariate VARMA-GARCH, and multivariate
	VARMA-AGARCH models are used to test for constant conditional correlations and volatility
	spillover effects across these markets. Each model is used to calculate the conditional volatility
	between both the Shenzhen and Shanghai Chinese markets and several other markets around the
	Pacific Basin Area, including Australia, Hong Kong, Japan, Taiwan and Singapore, during four
	distinct periods, beginning 27 August 1991 and ending 17 November 2010. The empirical results
	show some evidence of volatility spillovers across these markets in the pre-GFC periods, but there is
	little evidence of spillover effects from China to related markets during the GFC. This is presumably
	because the GFC was initially a US phenomenon, before spreading to developed markets around
	the globe, so that it was not a Chinese phenomenon.
Keywords: Volatility spillovers, VARMA-GARCH, VARMA-AGARCH, Chinese stock market.
Length: 24 pages 
Creation-Date: 2011 
Number: 2011-38 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1138.txt
File-URL: https://eprints.ucm.es/id/eprint/49351/1/1138.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1138