Volatility spillovers in the US-China financial markets: Evidence from BEKK-GARCH model

Ting Yang, Wee-Yeap Lau, Elya Nabila Abdul Bahri — Wed, 01 Jan 2025 00:00:00 -0600

This study investigates the spillover effects of volatility between the financial markets of the US and China using the BEKK-GARCH model on daily data from 4 January 2016 to 31 December 2021. The results, validated by the Wald test, reveal significant findings: First, the internationalization of the RMB has enhanced China's influence on the USD, resulting in volatility spillovers between the US dollar index and China's foreign exchange market. Second, while volatility spillovers exist between Chinese and US stock markets, the ARCH effect has weakened following the trade war. Finally, there are spillover effects between the Chinese and US bond markets, though these are less pronounced compared to the foreign exchange markets. These findings highlight the evolving nature of volatility spillovers between the US and Chinese financial markets, especially in the context of a trade war. The practical implications suggest that investors and policymakers should closely monitor these spillover effects to manage risks better and make informed decisions in an increasingly interconnected global market.

The impact of stock liquidity on stock price crash risk: Empirical research on listed firms in Vietnam

Pham Tien Manh, Nguyen Do Tue Linh, Nguyen Ngoc Phuong Linh — Tue, 21 Jan 2025 00:00:00 -0600

Vietnam's stock market is now highly developed and significant to the economy of the country. Many previous researches have studied the factors that affect stock prices on the stock market. Therefore, in this article, the authors examine the impact of stock liquidity on stock price crash risk with a sample space of companies on the Ho Chi Minh City Stock Exchange (HOSE) from 2016 to 2022. By using the linear regression research model, the authors found that stock liquidity has a negative impact on stock price crash risk. In this model, stock price crash risk will be the dependent variable, whereas stock liquidity will be the explanatory variable, which will ultimately determine the accuracy and suitability of the model through observed data. This topic provides considerable value to the depth of knowledge on stock liquidity and stock price crash risk in emerging markets and is helpful for emerging markets to monitor stock liquidity there. Additionally, this study offers potential strategies to manage stock price crash risk, which is valuable information for investors, authorities, regulators, and policymakers.

Asian Journal of Economic Modelling

Volatility spillovers in the US-China financial markets: Evidence from BEKK-GARCH model

The impact of stock liquidity on stock price crash risk: Empirical research on listed firms in Vietnam