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

DOI

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.

Download article (PDF)

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  - 10.2991/aebmr.k.220307.423
ID  - Zhu2022
ER  -