**1. Introduction**

Information transmissions from both return and volatility across national equity markets are of greater interest to both investors and policymakers, with increasing financial integration in the stock markets all over the world (Yousaf et al. 2020). If, for example, asset volatility is transmitted from one market to another during turmoil or crisis period (Forbes and Rigobon 2002; Diebold and Yilmaz 2009), then portfolio managers need to adjust their asset allocations (Baele 2005; Engle et al. 2012) and financial policymakers need to adapt their policies in order to mitigate the contagion risk. Changes in linkages between national equity markets, especially during a crisis, can also have important implications for asset allocations, business valuation, risk management, and access to finance.

Several studies have examined linkages between the equity markets during the 1997 Asian financial crisis (In Francis et al. 2001; Wan and Wong 2001; Yang et al. 2003), and the last 2008 global financial crisis (Yilmaz 2010; Cheung et al. 2007; Kim et al. 2015; Li and Giles 2015; Lean et al. 2015; Vieito et al. 2015; Zhu et al. 2019) and some studies, see, for example, Fung et al. (2011) and Guo et al. (2017), develop theories to explain that crisis. However, the linkages between equity markets during the Chinese stock market crash of 2015have been rarely examined. The Chinese stock market experienced a major crash in 2015 (Zhu et al. 2017; Yousaf and Hassan 2019; Yousaf et al. 2020; Yousaf and Ali 2020). The CSI 300 index increased before reaching 5178 points in mid-June of 2015. Then, it took a roller-coaster ride and dropped by up to 34% in just 20 days; Chinese stock market also lost 1000 points within just one week. Around 50% of Chinese stocks lost more than half of their pre-crash market value. The Chinese stock market crash a ffected many other commodities and financial markets, including Asian (Allen 2015) and the US stock markets (The causes and consequences of China's market crash 2015).

Despite the importance of the Chinese crash for international portfolio managers, few studies have examined how it was transmitted to other national financial markets. Xiong et al. (2018) investigate the time-varying correlation between economic policy uncertainty and Chinese stock market returns during the Chinese crash of 2015, while Yousaf and Hassan (2019) examine the linkages between crude oil and emerging Asian stock markets during this crisis. However, research on the linkages between stock markets has not been investigated ye<sup>t</sup> for the 2015 Chinese crash. Therefore, this study focuses on providing useful insights about this issue for the Asian region, which has attracted considerable attention from finance practitioners and academics due to its position as the center of global economic activity in the 21st century1. While using the US and Chinese equity markets as the indicators of global markets, we explore whether global investors can ge<sup>t</sup> the maximum benefit of diversification by adding emerging Asian market stocks in their portfolios. In literature, several studies have examined the linkages between the global (US and China) and emerging Asian equity markets during the Asian financial crisis, and the US financial crisis (Yang et al. 2003; Beirne et al. 2013; Jin 2015; Li and Giles 2015), but not in the Chinese stock market crash.

We address the above-mentioned literature gap by examining the return and volatility spillover from the US and China to the emerging Asian equity markets during the Chinese stock market crash by using the VAR-AGARCH model that was developed by Ling and McAleer (2003). Moreover, we examine the ability of spillovers during the full sample period and the 2008 US financial crisis to provide comparative insights to investors about whether the impact of the Chinese crash on equity market spillovers was di fferent from those in the other sample periods. Our findings show that return spillover was observed from the US and China to the Asian stock market during the US financial crisis and the Chinese stock market crash. Volatility was also transmitted from the US to the majority of the Asian stock markets during the Chinese stock market crash. However, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. Overall, as the return and volatility transmission vary across pairs of stock markets and financial crises, investors have to adjust their asset allocations from time to time to improve their profits. Therefore, we also estimate the optimal weights and hedge ratios during the full sample period, the US financial crisis, and the Chinese stock market crash. Our findings imply that fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis compared to during the Chinese crash. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash as compared to during the US crisis. Overall, our findings draw several important implications for risk managemen<sup>t</sup> and portfolio diversification that could be useful for investors and policymakers related to the US and Asian stock markets.

<sup>1</sup> Source: https://www.ft.com/content/520cb6f6-2958-11e9-a5ab-ff8ef2b976c7.

The rest of the paper is organized as follows: Section 2 provides the literature review. Section 3 describes the data and methodology. Section 4 reports the findings, and Section 5 concludes the whole discussion.
