The purpose of this paper is to examine the daily and overnight volatility spillover effects in common stock prices between China and G5 countries and explain their implications on the basis of empirical results.
The analysis utilizes the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, the cross‐correlation function approach, and realized volatility for daily and intraday stock price data that cover the period from January 5, 2004 to December 31, 2007.
Principally, the paper concludes the following: strong evidence of short‐run one‐way volatility spillover effects from China to the US, UK, German and French stock markets is observed and the test results indicate that Chinese investors were not rational and China's stock market entered a speculative bubble period after the second half of 2006.
Contrary to widespread belief, the empirical results suggest that a small (China) stock market has significant influence on a large (G5) stock market but not vice versa. This paradox is interpreted as a particular phenomenon existing together with the rapid economic development and severe capital regulation in China.
Nishimura, Y. and Men, M. (2010), "The paradox of China's international stock market co‐movement", Journal of Chinese Economic and Foreign Trade Studies, Vol. 3 No. 3, pp. 235-253. https://doi.org/10.1108/17544401011084316Download as .RIS
Emerald Group Publishing Limited
Copyright © 2010, Emerald Group Publishing Limited