Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1957971
Co-movement dynamics of US and Chinese stock market: evidence from COVID-19 crisis
Ge Song
Zhiqing Xia
Muhammad Farhan Basheer
Syed Mehmood Ali Shah
Sažetak
This paper aims to examine the co-movement between the two
economic powers, namely the USA and China. The authors are
mainly interested in examining the dynamics of co-movements
during, and in the pre-covid periods. Additionally, they have
aimed to examine the volatility spillover between USA and China,
during and in the pre-covid periods. In order to achieve the
research-based objectives, advanced econometrics models have
been applied to the data from July1, 2010, to April 30, 2021. The
results show that the sample market is integrated in the long run.
The results also indicate that the behaviour of the Chinese market
is same as the US market, and offers negligible opportunities for
investors for diversification during this time. The findings indicate
that the Ganger Causality between the stock markets during crisis
is significantly higher than the pre-crisis period. The results of
EGARCH model confirm the presence of asymmetric volatility spillover effects between the US and Chinese markets, during the
considered time periods. This study also examines the co-movement in China, grounded upon the robust approach that facilitates examining the dependence structure between the sample
variables. The findings offer valuable understanding for investors
who are looking for investment diversification opportunities worldwide.
Ključne riječi
China; COVID-19; comovement; stock; EGARCH; volatility spillover; USA
Hrčak ID:
302282
URI
Datum izdavanja:
31.3.2023.
Posjeta: 691 *