LEADER 04723nam 2200661Ia 450 001 9910828555903321 005 20200520144314.0 010 $a1-4623-7493-X 010 $a1-4527-4199-9 010 $a9786612843792 010 $a1-4518-7313-1 010 $a1-282-84379-6 035 $a(CKB)3170000000055318 035 $a(EBL)1608393 035 $a(SSID)ssj0000943255 035 $a(PQKBManifestationID)11492252 035 $a(PQKBTitleCode)TC0000943255 035 $a(PQKBWorkID)10975263 035 $a(PQKB)11028329 035 $a(OCoLC)649746446 035 $a(IMF)WPIEE2009166 035 $a(MiAaPQ)EBC1608393 035 $a(EXLCZ)993170000000055318 100 $a20100609d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSpillovers of the U.S. subprime financial turmoil to mainland China and Hong Kong SAR $eevidence from stock markets /$fprepared by Tao Sun and Xiaojuing Zhang 205 $a1st ed. 210 $a[Washington, D.C.] $cInternational Monetary Fund, Monetary and Capital Market Dept. $cChinese Academy of Social Sciences$d2009 215 $a1 online resource (44 p.) 225 1 $aIMF working paper ;$vWP/09/166 300 $a"August 2009." 311 $a1-4519-1741-4 327 $aContents; 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 Returns 327 $a7. 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 Returns 327 $a6. 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; References 330 3 $aThis paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK. 410 0$aIMF working paper ;$vWP/09/166. 606 $aStock exchanges$zChina 606 $aGlobal Financial Crisis, 2008-2009 607 $aChina$xEconomic conditions$y2000- 615 0$aStock exchanges 615 0$aGlobal Financial Crisis, 2008-2009. 676 $a332.6730951 700 $aSun$b Tao$f1970-$01103303 701 $aZhang$b Xiaojing$0905678 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept. 712 02$aZhongguo she hui ke xue yuan. 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910828555903321 996 $aSpillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR$94117261 997 $aUNINA