Half-day trading and spillovers

Abstract This paper investigates the linkage of returns and volatilities between United States Chinese stock markets from January 2010 to March 2020. We use dynamic conditional correlation (DCC) asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models calculate time-varying correlations these two examine return volatility spillover effects markets. The empirical results show that there are only unidirectional spillovers U.S. market market. has a consistently positive China’s next day’s morning trading, but its impact on afternoon trading appears be insignificant. finding implies information in impacts performance differently distinct semi-day trading. Moreover, with respect volatility, significant bidirectional