Dynamic interdependence and volatility transmission of the greater China stock markets
碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This paper examines dynamic interdependence, volatility transmission, and market integration across the greater China stock markets. Using a vector autoregressive-GJR generalized autoregressive conditional heteroskedasticity (VAR-GJR GARCH) model, we have found s...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03606817171731793814 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This paper examines dynamic interdependence, volatility transmission, and market integration across the greater China stock markets. Using a vector autoregressive-GJR generalized autoregressive conditional heteroskedasticity (VAR-GJR GARCH) model, we have found significant return and volatility spillover effects among the greater China stock markets. Our study indicates that the Hong Kong stock market appear to spread information to the other greater China stock markets “directly” or “indirectly”. The results imply that Hong Kong stock market plays a most influential role (regional force) among the Taiwan and Shanghai stock markets. The data also indicate market integration in that each market reacted to both local news and news originating in the other markets, particular adverse news.
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