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1、Mean,VolatilitySpilloverandTime-varyingConditionalDependenceinChineseStockMarketsYiZhengandWing-KeungWongRMIWorkingPaperNo.07/02Submitted:January3,2007AbstractThispaperadoptsatwo-stagebivariateGARCHmodeltoanalyzethemeanandvolatilityspilloversandtime-va
2、ryingconditionaldependencebetweenAandBsharesintheChinastockmarket.ImpactsofUSandHongKongonChinamarketarealsoexamined.WefindthatintheShanghaiexchangewheremoststate-ownedbigcompaniesarelisted,Bsharestradingismoreinfluentialintheinformationtransmissionwhi
3、leintheShenzhenexchangewithasmallerandless-liquidmarket,thedirectionofthespillovereffectreverses.Wealsofindthatthereexistsometime-varyingdependencepatternsbetweenAandBsharesinbothShanghaiandShenzhenexchanges.Inaddition,thereisanupwardtrendofconditional
4、correlationinbothAandBsharesafter2002.TheevolutionofconditionaldependenceiscloselylinkedtoChina’sgovernmentintervenepoliciesonitsstockmarket.Inaddition,ourfindingsrevealthatHongKong,asaneighborofmainlandChina’seconomy,ismoreinfluentialthantheUSontheSha
5、nghaiandShenzhenstockexchanges.Keywords:Chinastockmarket,two-stagebivariateGARCHmodel,spillovereffect.YiZhengWing-KeungWongDepartmentofEconomicsRiskManagementInstituteandNationalUniversityofSingaporeDepartmentofEconomicsAS504-07NationalUniversityofSing
6、aporeSingapore117570BlockS16,Level5,6ScienceDrive2Tel:(65)6516-5195Singapore117546Email:eaizy@nus.edu.sgTel:(65)6874-6014Fax:(65)6775-2646Email:rmiwwk@nus.edu.sg©2007Wing-KeungWong.Viewsexpressedhereinarethoseoftheauthoranddonotnecessarilyreflectthevie
7、wsoftheBerkley-NUSRiskManagementInstitute(RMI).I.IntroductionConcurrentwithitsrapideconomicgrowth,theChinastockmarket,initiatedinearly1990’s,hasbeenexpendingtremendouslyinthelasttwodecades.Despitebeingdisadvantagedbytheirshorthistories,andthecoexistenc
8、eofpoliticalandregulatoryburdens,bothShanghaiandShenzhenexchangesinChinahavebeenattractingahugeinfluxofdomesticandforeigninvestmentsamountingtoacapitalizationofUS$464.29billionin1378listedcompaniesandmorethanattractingupto72millionregis
