Return and Volatility Spillover across Equity Markets Between China and Southeast Asian Countries
Return and Volatility Spillover across Equity Markets Between China and Southeast Asian Countries
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中国与东南亚国家股票市场的回报率和波动性溢出
DOI：
10.1108/jefas-10-2018-0106
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
H. Ngo
中科院分区：
文献类型：
--
作者：
H. Ngo
目的
本文旨在研究中国与东南亚四国（越南、泰国、新加坡和马来西亚）股票价格的日收益率和波动溢出效应。
设计/方法/方式
该分析使用向量自回归和双变量GARCH-BEKK模型来捕捉包括2008年全球金融危机前后在内的整个时期的回报联动和波动传递。
结果
主要的实证结果是中国市场的波动性对数据样本中的其他市场产生了显著的影响。对于股票收益率，中国与其他市场之间的联系在全球金融危机期间和之后似乎是显著的。值得注意的是，调查结果还表明，股票市场更大程度上融入了危机。
实际影响
研究结果对投资组合管理者和机构投资者在评估投资和资产配置决策方面具有重要意义。市场参与者应更加注意评估市场之间的交叉联系及其波动传导的价值。此外，国际投资组合经理和套期保值者可能能够更好地理解股票市场之间的波动性联系如何随着时间的推移而相互关联;这种情况可能会使他们通过捕捉其他市场信息来预测这个市场的行为。
独创性/价值
本文将通过研究中国股票市场对越南、泰国、新加坡和马来西亚等邻国的影响来补充现有文献的新兴主体。此外，这是第一次使用双变量VAR-GARCH-BEKK模型来研究中国市场与东南亚四个市场之间的收益联动和波动溢出。本文的实证分析结果有助于加深对中国股票市场与其他股票市场之间溢出效应的系统理解。
Purpose
This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).
Design/methodology/approach
The analysis uses a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.
Findings
The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.
Practical implications
The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.
Originality/value
This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.