Volatility spillover benefits of the hang seng index and shanghai composite index: a vector autoregressive (var) model and granger causality test analysis

HIGHLIGHTS

• What: This study aims to explore the volatility spillover benefits between two major stock markets in Hong Kong and namely the and the Empirical analysis is conducted using (VAR) model and Granger causality test based on daily return data from 2013 to 2023. In this study, the Augmented Dickey-Fuller (ADF) unit root test was conducted on the logarithmically transformed data of the two variables using EViews 12.0 software.
• Who: Shanghai Composite Index and colleagues from the School of Finance and Economics, Massey University, Palmerston North, New Zealand have published the research work: Volatility . . .
  

   

  

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