{"title":"中国股市与部分新兴经济体的波动溢出效应:动态条件关联与投资组合优化视角","authors":"Miklesh Prasad Yadav, Sudhi Sharma, Indira Bhardwaj","doi":"10.1007/s10690-022-09381-9","DOIUrl":null,"url":null,"abstract":"<div><p>This paper examines the spillover effect from Chinese stock market to select emerging economies to check the diversification opportunities. The study analysed the data in three different periods including full period from January 3, 2000 to February 7, 2020; first sub period from January 3, 2000 to October 18, 2009 and second sub period from October 19 to February 7, 2020. We applied Granger Causality and Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) to investigate the spillover between Chinese and emerging economies. Referring to the Granger causality, it reveals that there is bi-directional causality between China and Indonesia only in full period. Further, DCC-GARCH indicates that there is spillover effect from the Chinese market to the Indonesian stock market in full period of observations both in the short run and long run. There is no spillover effect from China to emerging economies in first and second sub periods. We recommend that portfolio managers investing in Chinese economy may explore emerging economies as possible destinations to diversify their risk.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"30 2","pages":"427 - 444"},"PeriodicalIF":2.5000,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective\",\"authors\":\"Miklesh Prasad Yadav, Sudhi Sharma, Indira Bhardwaj\",\"doi\":\"10.1007/s10690-022-09381-9\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper examines the spillover effect from Chinese stock market to select emerging economies to check the diversification opportunities. The study analysed the data in three different periods including full period from January 3, 2000 to February 7, 2020; first sub period from January 3, 2000 to October 18, 2009 and second sub period from October 19 to February 7, 2020. We applied Granger Causality and Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) to investigate the spillover between Chinese and emerging economies. Referring to the Granger causality, it reveals that there is bi-directional causality between China and Indonesia only in full period. Further, DCC-GARCH indicates that there is spillover effect from the Chinese market to the Indonesian stock market in full period of observations both in the short run and long run. There is no spillover effect from China to emerging economies in first and second sub periods. We recommend that portfolio managers investing in Chinese economy may explore emerging economies as possible destinations to diversify their risk.</p></div>\",\"PeriodicalId\":54095,\"journal\":{\"name\":\"Asia-Pacific Financial Markets\",\"volume\":\"30 2\",\"pages\":\"427 - 444\"},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2022-11-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asia-Pacific Financial Markets\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10690-022-09381-9\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1007/s10690-022-09381-9","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective
This paper examines the spillover effect from Chinese stock market to select emerging economies to check the diversification opportunities. The study analysed the data in three different periods including full period from January 3, 2000 to February 7, 2020; first sub period from January 3, 2000 to October 18, 2009 and second sub period from October 19 to February 7, 2020. We applied Granger Causality and Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) to investigate the spillover between Chinese and emerging economies. Referring to the Granger causality, it reveals that there is bi-directional causality between China and Indonesia only in full period. Further, DCC-GARCH indicates that there is spillover effect from the Chinese market to the Indonesian stock market in full period of observations both in the short run and long run. There is no spillover effect from China to emerging economies in first and second sub periods. We recommend that portfolio managers investing in Chinese economy may explore emerging economies as possible destinations to diversify their risk.
期刊介绍:
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets