Intraday Volatility Spillover between the Shanghai and Hong Kong Stock Markets—Evidence from A+H Shares after the Launch of the Shanghai-Hong Kong Stock Connect

Xu, Yajing; Li, Sai‐Ping; Xiong, Xiong; Ren, Fei

doi:10.3724/sp.j.1383.204013

Cited by 10 publications

(4 citation statements)

References 34 publications

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“…However, the spillover of Pakistan and Sri Lanka markets is bidirectional only in the post-crisis period. Likewise, Xu et al (2017) investigated the volatility spillover between the Shanghai and Hong Kong stock markets using the GARCH-X model. The authors conclude that spillovers are bidirectional most of the time and they gain strength from an increase in capital flows or during major financial events.…”

Section: Introductionmentioning

confidence: 99%

Intraday Volatility Spillovers among European Financial Markets during COVID-19

Aslam

Ferreira

Mughal³

et al. 2021

IJFS

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During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday observations from 2 December 2019 to 29 May 2020. Using the methodology of Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that 77.80% of intraday volatility forecast error variance in twelve European markets comes from spillovers. Furthermore, the highest gross directional volatility spillovers are found in Sweden and the Netherlands, while the minimum spillovers to other stock markets are observed in the stock markets of Poland and Ireland. However, German and Dutch markets transmit the highest net directional volatility spillovers. Splitting the whole sample in pre- and post-pandemic declaration (11 March 2020) we find more stable spillovers in the latter. The findings reveal important information about European stock market interdependence during COVID-19, which will be beneficial to both policy-makers and practitioners.

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Section: Introductionmentioning

confidence: 99%

Intraday Volatility Spillovers among European Financial Markets during COVID-19

Aslam

Ferreira

Mughal³

et al. 2021

IJFS

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“…Whereas, in post-crisis times the equity markets of Pakistan and Sri Lanka showed bidirectional volatility spillover. Furthermore, Xu, Li [ 49 ] using the GARCH-X model examined the volatility spillovers between Shanghai equities, and Hong Kong equities. The authors figure out that mostly the volatility spillovers are bidirectional, and significantly increase during major financial happenings.…”

Section: Literature Reviewmentioning

confidence: 99%

Riding the waves: A study of return spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic

Kayani,

Aysan,

Khan

et al. 2024

Heliyon

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“…These factors affect the global stock market's rise and fall through profit, interest rate, risk appetite and so on. In addition, in order to better fit the linkage relationship, the study shifts from linear to nonlinear [3]; risk spillover effect research shifts from symmetric spillover to asymmetric spillover [8]. In the research object, the main focus is on the linkage between international stock markets [5], the linkage between domestic and overseas stock markets [1], especially the linkage between A-shares and Hong Kong stocks.…”

Section: Research Backgroundmentioning

confidence: 99%

Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model

Yu¹

2019

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DC-MSV and GC-MSV models are established to study the dynamic correlation and risk spillover effects among domestic and foreign shipping stocks price for the evaluation of pricing globalization. The empirical analysis adopting MCMC algorithm shows that the dynamic correlations rose between A stocks and their H counterparty index and shipping stocks, which relate to the gradually opening up investment threshold. However, the dynamic correlations did not go up between domestic shipping stocks and their oversea counterparties. A shipping stocks' price is Granger cause of their H stocks and the forward risk spillover effects are stronger, which means shipping stocks are mainly priced in domestic market. Further opening up will make China a global shipping asset pricing center, following the global shipbuilding and shipping center.

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Intraday Volatility Spillover between the Shanghai and Hong Kong Stock Markets—Evidence from A+H Shares after the Launch of the Shanghai-Hong Kong Stock Connect

Cited by 10 publications

References 34 publications

Intraday Volatility Spillovers among European Financial Markets during COVID-19

Intraday Volatility Spillovers among European Financial Markets during COVID-19

Riding the waves: A study of return spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic

Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model

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