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Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis

机译：中国股票和外汇市场之间的波动溢出：来自次贷亚洲金融危机的证据

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摘要

Purpose - This paper aims to examine the volatility spillover dynamics between stock and foreign exchange market of China considering subprime 2007 financial crisis period. Design/methodology/approach - This study considered daily data from January 2, 2002, to December 31, 2013. The sample period has been further divided into three periods; full sample period (January 2002-December 2013), pre-crisis period (January 2002-October 2007) and post-crisis period (October 2007-December 2013). This study opted Exponential Generalized Autoregressive Heteroskedasticity (EGARCH) model for the purpose of investigating asymmetric volatility spillover. Findings - The results obtained using the EGARCH model imply that volatility spillover dynamics varies from period to period. In full sample period, the results show evidence of significant unidirectional volatility spillover from foreign exchange market to stock market. In pre-crisis period, the results indicate unidirectional volatility spillover from stock market to foreign exchange market. However, in post-crisis period, the results reveal significant bidirectional volatility spillover between stock and foreign exchange market. Practical implications - The results of the study are important for policy makers because understanding the behavior of the financial markets, i.e. stock and foreign exchange market, would increase the success of policies implemented in a crisis situation. The results would help investors to formulate efficient portfolios. Originality/value - This study is an important contribution to the existing literature in terms of analyzing volatility spillover between stock and foreign exchange market in an emerging economy, China. Furthermore, this study explored the volatility spillover dynamics between the two markets by considering the pre and post subprime Asian crisis period. China;Stock market;EGARCH;Financial crisis;Foreign exchange market. Volatility spillover.
机译：目的-本文旨在研究考虑到2007年次级债金融危机时期的中国股票与外汇市场之间的波动溢出动态。设计/方法/方法-这项研究考虑了2002年1月2日至2013年12月31日的每日数据。采样期又分为三个时期。完整样本期（2002年1月至2013年12月），危机前时期（2002年1月至2007年10月）和危机后时期（2007年10月至2013年12月）。本研究选择指数广义自回归异方差（EGARCH）模型来研究非对称波动溢出。调查结果-使用EGARCH模型获得的结果表明，波动溢价的动态变化因期间而异。在整个抽样期间，结果显示出从外汇市场到股票市场的重大单向波动性溢出证据。在危机前时期，结果表明从股票市场到外汇市场的单向波动性溢出。然而，在危机后时期，结果表明股票和外汇市场之间存在着巨大的双向波动性溢出。实际意义-研究的结果对政策制定者很重要，因为了解金融市场（即股票和外汇市场）的行为会增加在危机情况下实施政策的成功率。结果将有助于投资者制定有效的投资组合。独创性/价值-在分析新兴经济体中国的股票与外汇市场之间的波动溢出方面，本研究对现有文献做出了重要贡献。此外，本研究通过考虑次贷危机之前和之后的亚洲危机，探讨了两个市场之间的波动溢出动态。中国；股票市场； EGARCH；金融危机；外汇市场。波动性溢出。

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  • 来源
    《Journal of Asia Business Studies》 |2018年第2期|220-232|共13页
  • 作者

    Khalil Jebran;

  • 作者单位

    School of Accounting, Dongbei University of Finance and Economics, Dalian, China;

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  • 正文语种 eng
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