Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market. In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased th...

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Bibliographic Details
Main Author: Liu, Yuna
Format: Doctoral Thesis
Language:English
Published: Umeå universitet, Nationalekonomi 2016
Subjects:
Time-varying return predictability
Tests for jumps
International financial markets
Market structure
Common trading platform
Integration
Time-varying correlation
C-GARCH
Trust
Portfolio Diversification
Stock Market Participation
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-119873
http://nbn-resolving.de/urn:isbn:978-91-7601-459-2

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-119873
http://nbn-resolving.de/urn:isbn:978-91-7601-459-2

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