Abstract:
This study aims to examine the impact of SSE crash (2015) on the return and volatility spillover of major trading partners (MTPs) of China (S&P, DAX, Nikkei, KOSPI, HSI and KSE). This study gathered the daily data for the period of 2011-2018 from their respect stock indices. The data is described through the descriptive stats. The data of the indices was further analyzed by using the diebold and Yilmaz spill over index model and rolling window methodology. The finding of this study indicates that the volatility and return spillover among the stock indices of same region is greater as compare to the integration between the developed and emerging economies. The results depicts that the return spill over between the SSE and its MTPs tends to be greater rather than volatility spill over between SSE and its MTPs. The results of this study further indicated that low level of return spillover and volatility spillover has been seen from SSE to USA during the crash. The results further indicated that highest return and volatility spillover has been seen from Shanghai Stock Exchange to HSI, which verify the geographical proximity influence on financial Market integration. The lowest volatility and return spillover has been seen from SSE to S&P and DAX that maximizes the diversification benefits for the international investors. The findings of this study are helpful and provide informational to the practitioners of financial markets in order to make a balanced decision concerning the formation of portfolio diversification during the period of crisis.
