Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)

Research on Co-Movements Among Financial Markets of China and ASEAN Countries

Authors
Li Xinyu
Corresponding Author
Li Xinyu
Available Online 20 December 2019.
DOI
10.2991/aebmr.k.191217.007How to use a DOI?
Keywords
Stock market, Co-movement, Time variation, DCC-GARCH
Abstract

The economic ties between China and ASEAN get increasingly close, and the co-movement among the financial markets shows a significant character of time varying. With the daily data from 2012 to July, 2019, this paper gives an empirical analysis to the volatility spillover among the stock markets of China and six ASEAN countries, based on the multivariate DCC-GARCH model. The results manifest that there is significant volatility among the return rate of stock indexes of China and six ASEAN countries, and the volatility lasts. In addition, in the aspect of volatility spillover, the conditional correlation coefficients of China with six ASEAN countries are clearly time-varying; the correlation of China’s stock market with Singapore’s is the strongest and shows a rising tendency, while the correlation of China’s stock market with Malaysia’s and Thailand’s is comparatively weaker and also shows a rising tendency, but in 2019 it is on the way down. The conditional correlation coefficients of China’s stock market with the Philippines’, Indonesia’s and Vietnam’s volatile frequently with same trend.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
20 December 2019
ISBN
978-94-6252-866-6
ISSN
2352-5428
DOI
10.2991/aebmr.k.191217.007How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Li Xinyu
PY  - 2019
DA  - 2019/12/20
TI  - Research on Co-Movements Among Financial Markets of China and ASEAN Countries
BT  - Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)
PB  - Atlantis Press
SP  - 34
EP  - 38
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.191217.007
DO  - 10.2991/aebmr.k.191217.007
ID  - Xinyu2019
ER  -