Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement

Ahmed, A and Huo, R 2019, 'Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement', Economic Modelling, vol. 79, pp. 28-46.


Document type: Journal Article
Collection: Journal Articles

Title Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement
Author(s) Ahmed, A
Huo, R
Year 2019
Journal name Economic Modelling
Volume number 79
Start page 28
End page 46
Total pages 19
Publisher Elsevier BV
Abstract This paper examines the price and volatility dynamics between China and major stock markets in the Asia-Pacific, investigating the effects of the Chinese stock market crash (2015-2016) for the first time. Employing the Bayesian VAR and BEKK GARCH, we observe that price and volatility spillover behaviours are different during the stable and stress periods. Particularly, price spillovers from China to other regional markets are more significant during a bullish period, showing that 'good news' emanating from China has strong impacts on its neighbours during better market condition. In the turbulent period, we observe strong shock spillover effects and enhanced volatility spillovers from China to most Asia-Pacific stock markets. This is because China, as an important trading partner and strategic financial centre shows to exert significant influence on the Asia-Pacific region through various economic channels. We also find that the Asia-Pacific stock markets spill over their shocks to China during the crisis, indicating that China is becoming more integrated with the regional financial markets.
Subject Financial Econometrics
Banking, Finance and Investment not elsewhere classified
Financial Institutions (incl. Banking)
Keyword(s) Price and volatility spillovers
BEKK GARCH
Financial crisis
Asia-Pacific region
DOI - identifier 10.1016/j.econmod.2018.09.029
Copyright notice © 2018 Elsevier B.V. All rights reserved.
ISSN 0264-9993
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