Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective

This paper examines the spillover effect from Chinese stock market to select emerging economies check diversification opportunities. The study analysed data in three different periods including full period January 3, 2000 February 7, 2020; first sub October 18, 2009 and second 19 2020. We applied Granger Causality Dynamic Conditional Correlation Generalized Autoregressive Heteroscedasticity (DCC-GARCH) investigate between economies. Referring causality, it reveals that there is bi-directional causality China Indonesia only period. Further, DCC-GARCH indicates Indonesian of observations both short run long run. There no periods. recommend portfolio managers investing economy may explore as possible destinations diversify their risk.