Proceedings of the 5th Management Science Informatization and Economic Innovation Development Conference, MSIEID 2023, December 8–10, 2023, Guangzhou, China

Research Article

Market Contagion of Stock Return Based on Information Transfer: Evidence from China

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  • @INPROCEEDINGS{10.4108/eai.8-12-2023.2344729,
        author={Qingyuan  Wu},
        title={Market Contagion of Stock Return Based on Information Transfer: Evidence from China},
        proceedings={Proceedings of the 5th Management Science Informatization and Economic Innovation Development Conference, MSIEID 2023, December 8--10, 2023, Guangzhou, China},
        publisher={EAI},
        proceedings_a={MSIEID},
        year={2024},
        month={4},
        keywords={information transfer; stock return; market contagion},
        doi={10.4108/eai.8-12-2023.2344729}
    }
    
  • Qingyuan Wu
    Year: 2024
    Market Contagion of Stock Return Based on Information Transfer: Evidence from China
    MSIEID
    EAI
    DOI: 10.4108/eai.8-12-2023.2344729
Qingyuan Wu1,*
  • 1: Hanshan Normal University
*Contact email: qywken@126.com

Abstract

Trade, capital, and information transfer are the three channels of spillover. It is challenge to distinguish them and quantify the effect of each channel. However, the stock market in China is not open yet, and we are able to cleanly identify the channel of market contagion based on the information transfer. In this study, we look at the stock market in China and other 4 major markets. Using the data from January 3, 2000 to June 30, 2017 and Structural Vector Autoregression model, we find that information transfer leads to a spillover effect on China stock market. Further more, the time varying data show that the evolution of market contagion overtime for China stock market, with big events causing peaks of market contagion.