Volatility Spillover Effect of Chinese and American Stock Indices in the Context of COVID-19 based on DCC-GARCH Model
DOI:
https://doi.org/10.54097/ajmss.v5i1.14067Keywords:
Volatility Spillover Effects, DCC-GARCH Model, Chinese and American Stock Markets, COVID-19Abstract
The COVID-19 pandemic in 2020 had a significant impact on the global economy, leading to a downturn in both the Chinese and American stock markets. The United States experienced four historic circuit breakers. This paper selects four representative indices from the Chinese and American stock markets, namely the CSI 300 Index, the Shanghai Composite Index, the S&P 500 Index, and the Dow Jones Industrial Average. Closing prices from January 2, 2018, to January 4, 2022, are selected, with January 2, 2020, serving as the dividing point. The time span is divided into pre-pandemic and post-pandemic periods to investigate the volatility spillover effects of Chinese and American stock indices under the backdrop of the COVID-19 pandemic. We employs the DCC-GARCH model to empirically analyze and quantify the volatility spillover effects of Chinese and American stock indices. Results reveal that under the backdrop of the pandemic, the volatility spillover effects between Chinese and American stock indices intensified. As time progressed, these effects gradually stabilized and began to decrease slowly. Based on the research findings, we provide relevant recommendations for policymakers’ and investors’ perspectives.
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