Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets
This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China''s stock market is not immune to the f...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2009
|
| Series: | IMF Working Papers
Working Paper No. 09/166 |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China''s stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK''s equity returns have exhibited more significant price and volatility spillovers from the United States than China''s returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK''s role as an international financial center. Moreover, the impact of the volatility from the United States on China''s stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK |
| Physical Description: | 1 Online-Ressource (42 p) |
| ISBN: | 1451873131 9781451873139 |
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| 100 | 1 | |a Zhang, Xiaojing |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR |b Evidence from Stock Markets |c Zhang, Xiaojing |
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| 520 | 3 | |a This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China''s stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK''s equity returns have exhibited more significant price and volatility spillovers from the United States than China''s returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK''s role as an international financial center. Moreover, the impact of the volatility from the United States on China''s stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:26Z |
| indexdate | 2024-07-10T09:35:35Z |
| institution | BVB |
| isbn | 1451873131 9781451873139 |
| language | English |
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| oclc_num | 1337117882 |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Zhang, Xiaojing Verfasser aut Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets Zhang, Xiaojing Washington, D.C International Monetary Fund 2009 1 Online-Ressource (42 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 09/166 This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China''s stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK''s equity returns have exhibited more significant price and volatility spillovers from the United States than China''s returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK''s role as an international financial center. Moreover, the impact of the volatility from the United States on China''s stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK Online-Ausg Sun, Tao Sonstige oth http://elibrary.imf.org/view/IMF001/10343-9781451873139/10343-9781451873139/10343-9781451873139.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Zhang, Xiaojing Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets |
| title | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets |
| title_auth | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets |
| title_exact_search | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets |
| title_exact_search_txtP | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets |
| title_full | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets Zhang, Xiaojing |
| title_fullStr | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets Zhang, Xiaojing |
| title_full_unstemmed | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR Evidence from Stock Markets Zhang, Xiaojing |
| title_short | Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR |
| title_sort | spillovers of the u s subprime financial turmoil to mainland china and hong kong sar evidence from stock markets |
| title_sub | Evidence from Stock Markets |
| url | http://elibrary.imf.org/view/IMF001/10343-9781451873139/10343-9781451873139/10343-9781451873139.xml |
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