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Author/Editor:
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Sun, Tao ; Zhang, Xiaojing
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Publication Date:
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August 01, 2009
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Electronic Access:
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Free Full text
(PDF file size is 1,055KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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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.
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Order a print copy
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Series:
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Working Paper No. 09/166
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Subject(s):
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Asset prices | Capital markets | China, People's Republic of | Credit risk | Economic integration | Economic models | External shocks | Financial crisis | Financial sector | Hong Kong Special Administrative Region of China | Spillovers | Stock markets | Stock prices | United States
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Author's Keyword(s):
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subprime crisis | spillovers | GARCH |
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English
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Publication Date:
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August 01, 2009
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Format:
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Paper
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Stock No:
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WPIEA2009166
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Pages:
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42
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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