Spillover effects of chinese stock markets

Ginny Ju Ann Yang*, Koyin Chang, Yung Hsiang Ying, Chen hsun Lee

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets, Our results show that cross-sectional interdependence is apparent in Chinese stock markets: however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.

Original languageEnglish
Pages (from-to)200-205
Number of pages6
JournalEconomics Bulletin
Issue number1
Publication statusPublished - 2014

ASJC Scopus subject areas

  • General Economics,Econometrics and Finance


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