TY - JOUR
T1 - High frequency volatility spillover effect based on the Shanghai-Hong Kong Stock Connect Program
AU - Zhang, Qiang
AU - Jaffry, Shabbar Abbas
N1 - This is an author's version of an article published in Investment Management and Financial Innovations which has been published in final form at http://businessperspectives.org/journals_free/imfi/2015/imfi_en_2015_02_Zhang.pdf
PY - 2015
Y1 - 2015
N2 - The authors explore the influence of the Shanghai-Hong Kong Stock Connect Program (SHSCP, begun on November 17, 2014) on the one-minute intraday high frequency volatility spillover between the two markets. The program is a strategic movement of the Chinese capital market opening up to the rest of world, which has milestone implications for the development of China’s financial market (enhancing the financial center status for both Shanghai and Hong Kong, the internationalization of Chinese currency, and enhancing its economic strength in the world economy). The authors apply asymmetric BEKK-GARCH and adopt the VAR approach as a robustness test. The results indicate that while there is no volatility spillover in the pre-connect period, strong bi-directional volatility spillover exists in the connected period. The statistic test results support the assumption that the program does increase the capital linkage between these two markets.
AB - The authors explore the influence of the Shanghai-Hong Kong Stock Connect Program (SHSCP, begun on November 17, 2014) on the one-minute intraday high frequency volatility spillover between the two markets. The program is a strategic movement of the Chinese capital market opening up to the rest of world, which has milestone implications for the development of China’s financial market (enhancing the financial center status for both Shanghai and Hong Kong, the internationalization of Chinese currency, and enhancing its economic strength in the world economy). The authors apply asymmetric BEKK-GARCH and adopt the VAR approach as a robustness test. The results indicate that while there is no volatility spillover in the pre-connect period, strong bi-directional volatility spillover exists in the connected period. The statistic test results support the assumption that the program does increase the capital linkage between these two markets.
KW - Shanghai-Hong Kong Stock Connect Program
KW - volatility spillover
KW - asymmetric BEKK-GARCH
KW - VAR approach
KW - Mainland China capital market’s opening-up policy
M3 - Article
SN - 1810-4967
VL - 12
SP - 8
EP - 15
JO - Investment Management and Financial Innovations
JF - Investment Management and Financial Innovations
IS - 1
ER -