Research on Volatility Spillover and Dynamic Correlation of Domestic and International Stock Market

SHI-JIE NING

Abstract


This paper gives an empirical analysis to the volatility spillover and dynamic correlation among the stock markets of the mainland China, Hong Kong and the United States by utilizing the GARCH family models. The result shows that the return series of Shanghai composite index, Hang Seng index and Standard and Poor’s 500 index all have prominent volatility clustering phenomena, and the return series of Hang Seng index and Standard and Poor’s 500 index have obvious leverage effect. Besides, there is significant volatility spillover between Hang Seng index and Standard and Poor’s 500 index; the dynamic correlation coefficient between Shanghai composite index and Hang Seng index is higher than that between Shanghai composite index and Standard and Poor’s 500 index and that between Hang Seng index and Standard and Poor’s 500 index.

Keywords


Stock Market, Volatility Spillover, Dynamic CorrelationText


DOI
10.12783/dtem/icem2019/31214

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