Asymmetric spillover effects between the Shanghai and Hong Kong stock markets: evidence from quantile lagged regression

作者：Zhu, Huiming^*; Tang, Yueli; Guo, Peng

来源：Applied Economics, 2017, 49(9): 886-902.

DOI：10.1080/00036846.2016.1208356

• Return spillovers
• volatility spillovers
• currency spillovers
• the 2008 global financial crisis
• quantile lagged regression

This article surveys the asymmetric spillover effects between the mainland China-based Shanghai Composite Index (SCI) and the Hong Kong based Hang Seng Index (HSI) using a quantile lagged regression model. Compared to previous studies, this article, based on data before and after the 2008 global financial crisis, presents a more detailed analysis, as we investigate the spillovers in terms of returns, volatilities and exchange rates between the renminbi (RMB) and the Hong Kong dollar (HKD) throughout the entire conditional return distribution, including the central quantiles, which are closely related to the normal circumstances, and the extreme quantiles, which correspond to the bear and bull markets. First, we find that the return spillovers from its lagged returns or from the other index not only vary across time but also depend on stock state. Second, while return volatility may boost the stock market in a bull market, it accelerates the decline in a bear market. Third, the depreciation of the RMB relative to the HKD does not significantly affect current returns for the HSI, while it negatively affects current returns for the SCI in a bad state after the crisis. The findings presented in this article will facilitate investors' understanding of the two stock markets.

• 出版日期2017
• 单位湖南大学