Price discovery, Volatility and Information Transmission: The Empirical Evidence from A-share Market and H-share Market
This article used A-share index and H-share index for the first time investigates the information transmission mechanism and the returns volatility based on PT/GG model and VECM-BEKK-(BV) GARCH model. The evidence suggests that, in short term, there is a significant innovation shock and unidirectional information transmission from A-share market to H-share market, and unidirectional volatility spillover from H-share to A-share; in long term, A-share market makes primary contribution to the price discovery, and the proportion is 67.94％.
price discovery volatility PT/GG model VECM-BEKK-(BV) GARCH MODEL
LI Baoren LIU Yin ZHANG Nan
Department of Statistics and Econometrics, School of Economics, Beijing Technology and Business University, P.R.China, 100048
国际会议
威海
英文
984-991
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）