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VOLATILITY CONTAGION AMONG STOCK, CURRENCY, AND BULK SHIPPING MARKET DURING THE CHINA’S STOCK MARKET CRASH CRISIS

ARTHUR JIN LIN

Graduate Institute of International Business, National Taipei University, No. 151, Daxue Road, Sanxia District, New Taipei City 23741 Taiwan (R.O.C.), Taiwan

E-mail Address: lj@mail.ntpu.edu.tw

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https://doi.org/10.1142/S021759082140004XCited by:1 (Source: Crossref)

This article is part of the issue:

Special Issue on China's Economy: Challenges and Development in the Future — Guest Editor: Jr-Tsung Huang, National Chengchi University

Abstract

Six financial markets were verified contagious to Shanghai Stock Exchange Composite (SSEC): domestic equity market (SSEC and China COSCO Shipping Co.), domestic currency market, international currency market, global shipping market, commodity future market and bulk shipping market (BDI) which regarded as a leading indicator of future economic growth instead of Li Keqiang index. This research analyzed intermarket contagion from March 14, 2008 to March 31, 2018. MIDAS-GARCH model was adopted to identify the spillover effect among the Shanghai Stock market and inter-market indices. The findings of this study were concluded as follows: (1) The commodity, global shipping market had significant volatility transmission to SSEC both before and after the crash crisis. (2) The volatility of domestic currency market was significantly contagious to SSEC only after the crash.

Keywords:

JEL: C22, C32, C58, C82, F21, F23, F31, F37, G01, G15, R49

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