지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This study is to investigate the Volatility between Shanghai and Shenzhen stock markets. The results of this study can be summarized as follows: In the pre-crisis, the cointegrating relationship between the four variables for each stock market has partially adjusted to recover in the short term. In the mean equation, almost all own and cross markets did not exist in the spillover effects. And in the variance equation, ARCH() has a strong influence on the domestic market. In GARCH(), most of the cross-market and the own market showed the strong volatility spillover effects and the asymmetric effects of all domestic markets did not exist, but these effects between different markets existed. In the mean equation after the crisis, the spillover effects of domestic market existed. And in the variance equation, ARCH() showed the strong spillover effects across most markets and GARCH() showed the strong spillover effects among most of the other markets as well as the own Shanghai-B and Shenzhen-A. The domestic Shanghai-B, Shenzhen-A and Shenzhen-B market and other markets showed the strong asymmetric effects. Therefore, the causal and transmission relationship was confirmed by identifying the one-way or two-way asymmetric volatility spillover effects between the Shanghai-A and other markets in this study. And there were the spillover effects between Shanghai-A & B and Shenzhen-A & B market over timevarying periods and the linkages between the stock market in China was cle rly present.
목차
등록된 정보가 없습니다.
참고문헌 (29)
참고문헌 신청
Alaganar V.T. / 2003 / An international study of casuality-in-variance: Interest rate and financial sector returnss / Journal of Economics and Finance 27 : 39 ~ 56
Badrinath S. / 1995 / Of shepherds, sheep and the cross-autocorrelations in equity markets / The Review of Financial Studies 8 : 401 ~ 430
Bailey W. / 1994 / Risk and return on China's new stock markets: Some preliminary evidence / Pacific-Basin Finance Journal 2 : 243 ~ 260
Chui A. / 1998 / Cross-autoautocorrelation between A shares and B shares in the Chinese stock market / The Journal of Financial Research 21 : 333 ~ 353
Engle R. / 1987 / Cointegration and error correction: Representation, estimation and testing / Econometrica 55 : 251 ~ 276
Badrinath S. / 1995 / Of shepherds, sheep and the cross-autocorrelations in equity markets / The Review of Financial Studies 8 : 401 ~ 430
Bailey W. / 1994 / Risk and return on China's new stock markets: Some preliminary evidence / Pacific-Basin Finance Journal 2 : 243 ~ 260
Chui A. / 1998 / Cross-autoautocorrelation between A shares and B shares in the Chinese stock market / The Journal of Financial Research 21 : 333 ~ 353
Engle R. / 1987 / Cointegration and error correction: Representation, estimation and testing / Econometrica 55 : 251 ~ 276
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