Co-movement dynamics of US and Chinese stock market

Evidence from Covid-19 crisis

Dados Bibliográficos

ID15066992
AutoresGe Song (0000-0002-1118-1850, Qilu University of Technology), Zhiqing Xia (Qilu University of Technology, autor correspondente), Muhammad Farhan Basheer (0000-0001-8622-9866, Lahore Business School, The University of Lahore, Lahore, Pakistan), Syed Mehmood Ali Shah (Northeast Asian Research Centre, Jilin University, Changchun, China)
Ano2022
Volume35
Fascículo1
Páginas2460-2476
Data de publicação2022-12-31
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoEconomic Research-Ekonomska Istraživanja (JOURNAL)
Identificadores do periódicoISSN: 1331-677X • E-ISSN: 1848-9664
EditoraInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2021.1957971
OpenAlexW3192689259
IdiomaEN
Citações recebidas1
Referências citadas53

This paper aims to examine the co-movement between the two economic powers, namely the USA and China. The authors are mainly interested in examining the dynamics of co-movements during, and in the pre-covid periods. Additionally, they have aimed to examine the volatility spillover between USA and China, during and in the pre-covid periods. In order to achieve the research-based objectives, advanced econometrics models have been applied to the data from July1, 2010, to April 30, 2021. The results show that the sample market is integrated in the long run. The results also indicate that the behaviour of the Chinese market is same as the US market, and offers negligible opportunities for investors for diversification during this time. The findings indicate that the Ganger Causality between the stock markets during crisis is significantly higher than the pre-crisis period. The results of EGARCH model confirm the presence of asymmetric volatility spillover effects between the US and Chinese markets, during the considered time periods. This study also examines the co-movement in China, grounded upon the robust approach that facilitates examining the dependence structure between the sample variables. The findings offer valuable understanding for investors who are looking for investment diversification opportunities worldwide

Business · China · Econometrics · Economics · Financial crisis · Financial economics · Geography · Granger causality · Macroeconomics · Monetary economics · Spillover effect · Stock market · COVID-19 impact on air quality · COVID-19 Pandemic Impacts · Market Dynamics and Volatility