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...

Full description

Bibliographic Details
Main Authors: Pei-che, Huang, 黃培哲
Other Authors: Jien-Wei, Yang
Format: Others
Language:zh-TW
Published: 2002
Online Access:http://ndltd.ncl.edu.tw/handle/03606817171731793814
id ndltd-TW-090YUNTE304010
record_format oai_dc
spelling ndltd-TW-090YUNTE3040102016-06-24T04:15:13Z http://ndltd.ncl.edu.tw/handle/03606817171731793814 Dynamic interdependence and volatility transmission of the greater China stock markets 兩岸三地股市動態關連與波動傳遞機制之研究 Pei-che, Huang 黃培哲 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. Jien-Wei, Yang Ai-Chi, Hsu 楊踐為 胥愛琦 2002 學位論文 ; thesis 35 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 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.
author2 Jien-Wei, Yang
author_facet Jien-Wei, Yang
Pei-che, Huang
黃培哲
author Pei-che, Huang
黃培哲
spellingShingle Pei-che, Huang
黃培哲
Dynamic interdependence and volatility transmission of the greater China stock markets
author_sort Pei-che, Huang
title Dynamic interdependence and volatility transmission of the greater China stock markets
title_short Dynamic interdependence and volatility transmission of the greater China stock markets
title_full Dynamic interdependence and volatility transmission of the greater China stock markets
title_fullStr Dynamic interdependence and volatility transmission of the greater China stock markets
title_full_unstemmed Dynamic interdependence and volatility transmission of the greater China stock markets
title_sort dynamic interdependence and volatility transmission of the greater china stock markets
publishDate 2002
url http://ndltd.ncl.edu.tw/handle/03606817171731793814
work_keys_str_mv AT peichehuang dynamicinterdependenceandvolatilitytransmissionofthegreaterchinastockmarkets
AT huángpéizhé dynamicinterdependenceandvolatilitytransmissionofthegreaterchinastockmarkets
AT peichehuang liǎngànsāndegǔshìdòngtàiguānliányǔbōdòngchuándìjīzhìzhīyánjiū
AT huángpéizhé liǎngànsāndegǔshìdòngtàiguānliányǔbōdòngchuándìjīzhìzhīyánjiū
_version_ 1718321960114454528