Volatility spillovers during the Chinese stock market crisis: A MEM-based approach

We study volatility spillovers from the Chinese A-share market to four Asia-Pacific (APAC) markets and three global markets during the Chinese stock market crisis. We make use of a nonlinear model and determine that volatility spillovers tend to be regional, posing greater risks to the region than elsewhere. We show that, during the crisis, the Chinese stock market is more integrated in the APAC region. We find no evidence of asymmetric effects and exclude short-run effects of the national team established by the Chinese authorities. We construct a volatility spillover balance and find that, during the financial turbulence, mainland China changes its status from being volatility spillover receiver to volatility generator.