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Purpose – This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach – The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings – The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis. Practical implications – The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information. Originality/value – This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysi would amplify the systematic understanding of spillover activities between China stock market and other stock markets. Proposito - En este documento, estudiamos los retornos diarios y los efectos de la volatilidad en los precios de las acciones comunes entre China y cuatro paises del sudeste asiatico (Vietnam, Tailandia, Singapur y Malasia). Diseno/metodologia/enfoque - El analisis utiliza una autorregresion vectorial con un modelo bivariado GARCH-BEKK para capturar el enlace de retorno y la transmision de la volatilidad que abarca el periodo, incluida la crisis financiera global anterior y posterior a 2008. Hallazgos: Nuestro principal resultado empirico es que la volatilidad del mercado chino ha tenido un impacto significativo en los otros mercados en nuestra muestra de datos. Para el retorno de las acciones, el vinculo entre China y otros mercados parece ser notable durante y despues de la crisis financiera mundial. En particular, los hallazgos tambien indican que los mercados de valores estan mas integrados en la crisis. Originalidad/valor - Este documento complementaria el cuerpo emergente la literatura existente al examinar como el mercado de valores de China afecta a sus paises vecinos, incluidos Vietnam, Tailandia, Singapur y Malasia. Ademas, esta es la primera investigacion que captura el vinculo de retorno y la volatilidad entre el mercado de China y los cuatro mercados del sudeste asiatico mediante el uso del modelo bivariado VAR-GARCH-BEKK. Creemos que los resultados del analisis empirico de esta investigacion ampliaran la comprension sistematica de las actividades de desbordamiento entre el mercado de valores de China y otros mercados de valores. Implicaciones practicas - Nuestros resultados tienen implicaciones considerables para los gestores de cartera y los inversores institucionales en la evaluacion de las decisiones de inversion y asignacion de activos. Los participantes del mercado deben prestar mas atencion para evaluar el valor de los vinculos entre los mercados, asi como sus transmisiones de volatilidad. Ademas, los gestores de la cartera internacional pueden comprender mejor como el vinculo de volatilidad entre los mercados bursatiles se interrelaciona con el tiempo extra; esta situacion podria proporcionarles beneficios al pronosticar el comportamiento de este mercado al capturar la informacion del otro mercado.

Return and volatility spillover across equity markets between China and Southeast Asian countries