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

IF 2.5 Q2 ECONOMICS
Miklesh Prasad Yadav, Sudhi Sharma, Indira Bhardwaj
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引用次数: 6

摘要

本文通过考察中国股市的溢出效应,选择新兴经济体来检验多元化机会。该研究分析了三个不同时期的数据,包括2000年1月3日至2020年2月7日的整个时期;第一阶段为2000年1月3日至2009年10月18日,第二阶段为10月19日至2020年2月7日。本文运用格兰杰因果关系和动态条件相关广义自回归条件异方差(DCC-GARCH)分析了中国与新兴经济体之间的溢出效应。从格兰杰因果关系来看,中国与印尼之间仅在全时期存在双向因果关系。此外,DCC-GARCH表明,无论在短期还是长期的全周期观察中,中国市场对印尼股市都存在溢出效应。在第一和第二阶段,中国对新兴经济体没有溢出效应。我们建议投资中国经济的投资组合经理将新兴经济体作为分散风险的可能目的地。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
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
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