06209oam 22011534 450 991078822980332120230721045702.01-4623-7493-X1-4527-4199-997866128437921-4518-7313-11-282-84379-6(CKB)3170000000055318(EBL)1608393(SSID)ssj0000943255(PQKBManifestationID)11492252(PQKBTitleCode)TC0000943255(PQKBWorkID)10975263(PQKB)11028329(OCoLC)649746446(MiAaPQ)EBC1608393(IMF)WPIEE2009166(EXLCZ)99317000000005531820020129d2009 uf 0engur|n|---|||||txtccrSpillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR : Evidence from Stock Markets /Xiaojing Zhang, Tao SunWashington, D.C. :International Monetary Fund,2009.1 online resource (44 p.)IMF Working Papers"August 2009."1-4519-1741-4 Contents; I. Introduction; II. Performance of China and HK's Stock Markets-Stylized Facts and Some Preliminary Observations; III. Related Literature; IV. Data and Methodology; V. Empirical results; A. UGARCH Models; B. MGARCH models; VI. Conclusions and Policy Implications; Tables; 1. Emerging Stock Market Peaks and Troughs: Current Episode; 2. Data Description and Transformation; 3. Daily Equity Price Returns: Summary Statistics; 4. Equity Prices and Volatility Indices: Augmented Dickey-Fuller Tests Statistics; 5. VAR Lag Oder Selection Criteria; 6. The Distribution of Squared Returns7. Regression Results of the Event Models: China8. Regression Results of the Event Models: Hong Kong SAR; 9. Estimated Coefficients for Conditional Mean Return Equations; 10. Estimated Coefficients for Variance Covariance Equations; 11. Estimated Coefficients for Conditional Mean Return Equations Using Financial; 12. Estimated Coefficients for Variance Covariance Equations Using Financial Sector; Figures; 1. Stock prices Indices; 2. U.S. Market Volatility; 3. Hot Money flows to China; 4. U.S. Resident's Net Foreign Transactions in Foreign Corporate Stocks; 5. Daily Equity Returns6. Squared Returns7. Conditional Correlation Between the Composite Indices; 8. Conditional Correlation Between the Financial Indices; Appendixes; Lists of Subprime Events; Members of FXI US equity; Market Forecasts of Monthly Economic Indicators: China; Market Forecasts of Monthly Economic Indicators: HK; ReferencesThis paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK.IMF Working Papers; Working Paper ;No. 2009/166Stock exchangesChinaGlobal Financial Crisis, 2008-2009Finance: GeneralimfInvestments: StocksimfMacroeconomicsimfGeneral Financial Markets: General (includes Measurement and Data)imfPrice LevelimfInflationimfDeflationimfExternalitiesimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfFinanceimfInvestment & securitiesimfStock marketsimfAsset pricesimfSpilloversimfStocksimfFinancial integrationimfStock exchangesimfPricesimfInternational financeimfChinaEconomic conditions2000-China, People's Republic ofimfStock exchangesGlobal Financial Crisis, 2008-2009.Finance: GeneralInvestments: StocksMacroeconomicsGeneral Financial Markets: General (includes Measurement and Data)Price LevelInflationDeflationExternalitiesPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsFinanceInvestment & securitiesStock marketsAsset pricesSpilloversStocksFinancial integrationStock exchangesPricesInternational financeZhang Xiaojing905678Sun Tao1103303International Monetary Fund.Monetary and Capital Markets Dept.Zhongguo she hui ke xue yuan.DcWaIMFBOOK9910788229803321Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR3704127UNINA