Dynamic Risk Spillover Effects between US and China Stock Markets

This paper explores the dynamic spillover effects between the United States and China stock markets since 2001. We take the S&P 500 and the Shanghai Composite Index daily closing points as price, divide them into three periods with Structural Breakpoints approach, and then investigate the price spillover effect by VAR model and volatility spillover effect by BEKK-GARCH model respectively. The results show that there exists an increasingly strong impact between the United States and China stock markets; the US still occupies a predominant position; and its spillover effect on China stock markets is much stronger than that of China on the US stock market; however, the latter has experienced a more significant growth.