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W3048870136 abstract "The study implies VARX-DCC-MEGARCH model to investigate the returns transmission, volatility spillovers, asymmetry effect and the dynamic correlation between China and U.S. stock markets, as well as their local stock markets. We found that daytime returns of U.S. stock markets affect the overnight returns of Chinese stock markets. However, overnight returns transmission from the United States to China (daytime) was insignificant. Returns transmissions from Chinese stock markets to the United States are not significant. Daytime volatility of U.S. stock markets significantly spillovers the overnight volatility of Chinese stock markets and daytime volatility of Chinese stock markets spillovers the overnight volatility of U.S. stock markets. Moreover, during financial crises period, negative daily returns of Chinese stock markets significantly transmit to U.S. stock markets. Additionally, returns and volatility spillovers between local markets of the United States was also significant. During the financial crisis, the volatility spillovers between local stocks market of China was significant on one hand and leverage effect for U.S. and Chinese stock markets were also significant on the other hand." @default.
W3048870136 created "2020-08-18" @default.
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W3048870136 date "2020-08-09" @default.
W3048870136 modified "2023-10-02" @default.
W3048870136 title "Analysing time difference and volatility linkages between China and the <scp>United States</scp> during financial crises and stable period using <scp>VARX‐DCC‐MEGARCH</scp> model" @default.
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W3048870136 doi "https://doi.org/10.1002/ijfe.1822" @default.
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