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Volatility spillovers across daytime and overnight information between China and world equity markets

Abstract : This article explores the transmission of daytime and overnight information in terms of returns and volatility between Chinese and Asian, European and North American main stock markets. We propose a bivariate analysis with China as benchmark. By testing the constancy of the conditional correlations, we use an extended constant or dynamic conditional correlation GARCH model. The empirical findings show that across the daytime information transmissions, the relationships between China and Asian markets are closer than China and non-Asian markets, whereas through the overnight information transmissions these relationships are inverse. The analysis provides, before the crisis, that the overnight volatility spillover effects are from China to the United States and the United Kingdom. During the crisis, China affects the United Kingdom in terms of daytime volatility spillovers, whereas in terms of overnight volatility spillovers China affects the United States and is influenced by Japan. After the crisis, daytime volatility spillovers are from Taiwan to China, whereas the overnight volatility spillover effects are from China to the United States and the United Kingdom.
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Submitted on : Monday, February 6, 2017 - 2:17:48 PM
Last modification on : Tuesday, February 8, 2022 - 10:53:45 AM

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Jian Hua, Bilel Sanhaji. Volatility spillovers across daytime and overnight information between China and world equity markets. Applied Economics, Taylor & Francis (Routledge), 2015, 47 (50), pp.5407--5431. ⟨10.1080/00036846.2015.1049335⟩. ⟨hal-01457382⟩

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