Advances in Economics, Management and Political Sciences
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Proceedings of the 2023 International Conference on Management Research and Economic Development
Series Vol. 23 , 13 September 2023
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Research on Co-movement Between China and USA Stock Market under the Impact of COVID-19
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Abstract
The worldwide economic market has fluctuated wildly due to COVID-19, therefore revealing the co-movement of international stock markets should reduce its destructive force and shock. Based on the "Economic Basic Hypothesis" and "Market Contagion Hypothesis," this work uses VECM and GARCH models to examine international market volatility using the Shanghai Composite Index (SSEC), Shenzhen Composite Index (SZSE), and S&P 500 index. The total trading data of three indexes are divided into 2 periods, with September 01, 2019 as the cut-off point. The period 1 is from January 5, 2015 to August 30, 2019 and the period 2 is from September 3, 2019 to December 30, 2022. The study shows that: 1) During the COVID-19, the short-term return of both stock markets has declined and volatility has increased; 2) there is no reliable co-integration relationship between S&P 500, SSEC and SZSE which also declaims no long-run equilibrium between two markets; 3) before and during the COVID-19, the close to close return rate of America stock market guided the return rate of China stock market; 4) both S&P 500, SSEC shows an asymmetric effect and the leverage effect is distinct; 5) the co-movement was stronger when the rate of return was relatively high; 6) volatility spillover effect of China to USA stock market was significant.
Keywords
stock market, co-movement, volatility spillover effect, dynamic correlation
References
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2023 International Conference on Management Research and Economic Development
- ISBN (Print)
- 978-1-915371-89-8
- ISBN (Online)
- 978-1-915371-90-4
- Published Date
- 13 September 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/23/20230360
- Copyright
- 13 September 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited