Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

Information Spillover Effect Changes of Major Financial Markets: Evidence from the 2015 Chinese Stock Market Crash

Authors
Wenyu Zhu1, Lulu Pan2
1College of Business, City University of Hong Kong
2School of Economics, Hefei University of Technology
*Corresponding author. Email:zhuwenyulili@hotmail.com
Corresponding Author
Wenyu Zhu
Available Online 26 March 2022.
DOI
https://doi.org/10.2991/aebmr.k.220307.423How to use a DOI?
Keywords
Information spillover; stock market crash; VAR-BEKK-GARCH; DCC-MGARCH
Abstract

This study investigates how the 2015 stock market crash in China affects the characteristics of information spillover among China, Hong Kong, and the United States. The VAR-BEKK-GARCH and DCC-MGARCH models are employed to confirm the changes. Results show that the 2015 crash strengthens both mean and volatility spillover transmitted from the Chinese stock market to others. The dynamic conditional correlations between stock markets rise significantly after the crash. These findings provide reference for financial authorities to well prevent domestic financial markets from being affected by international risk spillovers, and help investors to adopt profitable strategies

Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.220307.423How to use a DOI?
Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Wenyu Zhu
AU  - Lulu Pan
PY  - 2022
DA  - 2022/03/26
TI  - Information Spillover Effect Changes of Major Financial Markets: Evidence from the 2015 Chinese Stock Market Crash
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2600
EP  - 2605
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.423
DO  - https://doi.org/10.2991/aebmr.k.220307.423
ID  - Zhu2022
ER  -