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Erschienen in:
2024 | OriginalPaper | Buchkapitel
Research on the Relationship Between Chinese and American Stock Markets: Spillover Effects of Returns and Volatility
verfasst von : Lin Liu
Erschienen in: Proceedings of the 7th International Conference on Economic Management and Green Development
Verlag: Springer Nature Singapore
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Abstract
In the context of economic globalization and financial sector liberalization, the economies of countries are increasingly vulnerable to international capital flows. This article selects the Shanghai Composite Index and Nasdaq Index from January 1, 2010 to December 31, 2019. Using VAR and ARMA-GACH models, the average side effects and volatility side effects of China's A-share market and the US stock market were studied, the existence of side effects was examined, the causes of side effects were analyzed on the basis of empirical results, and appropriate policy recommendations were put forward to regulators to avoid the external risks of Chinese stock market as much as possible to seek long-term stable development. This paper proves that both the ARCH volatility side factors and the GARCH volatility spillover factors in the NASDAQ SSE yield series have passed the importance level test, indicating that SSE reflects the indirect impact of ARCH and GARCH volatility on the NASDAQ index.