International linkages of the Chinese stock exchanges: A multivariate GARCH analysis

Applied Financial Economics

Volumn 17, Issue 4, 2007, Pages 285-297

  Li, Hong ^a  

^a KINGSTON UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

INVESTMENT; MULTIVARIATE ANALYSIS; STOCK MARKET; TRADE PERFORMANCE;

ASIA; CHINA; EURASIA; FAR EAST; GUANGDONG; HONG KONG; NORTH AMERICA; SHANGHAI; SHENZHEN; UNITED STATES;

EID: 33847312687     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100600675557     Document Type: Article

References (14)

1. Bollerslev, T.,.Engle, R. and Wooldridge, J. (1988) A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96, pp. 116-131.
2. Brooks, RD and Ragunathan, V. (2003) Returns and volatility on the Chinese stock markets. Applied Financial Economics, 13, pp. 747-752.
3. Chou, R. and Lin, J. (1999) Modelling the Taiwan stock market and international linkages. Pacific Economic Review, 4, pp. 305-320.
4. Chow, G. and Lawler, C. (2003) A time series analysis of the Shanghai and New York stock price indices. Annals of Economics and Finance, 4, pp. 17-35.
5. Engle, R. and Kroner, K. (1995) Multivariate simultaneous generalised ARCH. Econometric theory, 11, pp. 122-150.
6. Heimonen, K. (2002) Stock market integration: Evidence on price integration and return convergence. Applied Financial Economics, 12, pp. 415-429.
7. Kasch-Haroutounian, M. and Price, S. (2001) Volatility in the transition markets of central Europe. Applied Financial Economics, 11, pp. 93-105.
8. Kim, Y. and Shin, J. (2000) Interactions among China-related stocks. Asia-Pacific Financial Markets, 7, pp. 97-115.
9. Kroner, K. (1998) Modelling asymmetric comovements of asset returns. The Review of Financial Studies, 11, pp. 817-844.
10. Miyakoshi, T. (2003) Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Markets, Institutions and Money, 13, pp. 383-399.
11. Seddighi, HR and Nian, W. (2004) The Chinese stock exchange market: operations and efficiency. Applied Financial Economics, 14, pp. 785-797.
12. Wang, P., Liu, A. and Wang, P. (2004) Returns and risk interactions in Chinese stock markets. Journal of International Financial Markets, Institutions and Money, 14, pp. 367-384.
13. Worthington, A. and Higgs, H. (2004) Transmission of equity returns and volatility in Asian developed and emerging markets: A multivariate GARCH analysis. International Journal of Finance and Economics, 9, pp. 71-80.
14. Yeh, Y. and Lee, T. (2000) The interaction and volatility asymmetry of unexpected returns in the greater China stock markets. Global Finance Journal, 11, pp. 129-149.