This paper tests the volatility spillover effects between Chinese and international stock market from 2000 to 2019 by using asymmetric EGARCH model. Through the empirical analysis on the five indices’ daily data, it is found that the volatility spillover effect of international stock market on Chinese stock market is not significant across the whole sample period. Ever since the opening of the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect, however, the volatility spillover effect between Chinese and international market has been strengthened compared to the past. Based on the research conclusions, this paper puts forward some suggestions for the further development of Chinese capital market.

Wenhao Xu. Volatility Spillover Effects Between Chinese and International Stock Market - Based on the Asymmetric EGRACH Model. International Journal of Frontiers in Engineering Technology (2022), Vol. 4, Issue 4: 14-20. https://doi.org/10.25236/IJFET.2022.040403.

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