Weber, Enzo and Zhang, Yanqun (2012) Common influences, spillover and integration in Chinese stock markets. JOURNAL OF EMPIRICAL FINANCE, 19 (3). pp. 382-394. ISSN 0927-5398,
Full text not available from this repository. (Request a copy)Abstract
The Chinese stock market features an interesting history of divided market segments: domestic (A). foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an econometric technique capable of identifying common factor influences from (bi-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have largely replaced direct spillovers. (C) 2012 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CONDITIONAL CORRELATION; A-SHARE; MODELS; HETEROSKEDASTICITY; IDENTIFICATION; VOLATILITY; China; Stock Market; Correlation; Integration; Spillover |
| Subjects: | 300 Social sciences > 330 Economics 900 History & geography > 940 General history of Europe |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) Institute for East and Southeast European Studies (IESES) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 13 May 2020 05:54 |
| Last Modified: | 13 May 2020 05:54 |
| URI: | https://pred.uni-regensburg.de/id/eprint/18668 |
Actions (login required)
 |
View Item |
