Volatility Spillover Effects between Shang Hai and Hong Kong Stock Markets

摘要：

The research on volatility spillover effects between many slock markets is an important subject of finance in recent years. This paper investigates the volatility spillover between the stock markets in Shanghai and Hong Kong. Granger causality model and GARCH (l,l)-in-mean model are adopted to test and analyze the relevance of the return and volatility between the two markets. The empirical results suggest that Hong Kong equity market has one-way significant effects on Shanghai stock market after the reform of the shareholder structure of listed companies.

关键词： volatility spillover effects GARCH(1,1)-in-mean model stock markets

作者: Jijiao Jiang Tongtong Sun

作者单位: School of Management Northwestern Polytechnical University Xian, China

会议类型: 国际会议

会议名称: 2010 International Conference on Information Security and Artificial Intelligence(2010年信息安全与人工智能国际会议 ISAI 2010)

会议地点: 成都

会议语种:英文

页码: 1091-1095

在线出版日期: 2010-12-17（万方平台首次上网日期，不代表论文的发表时间）