메뉴 건너뛰기




Volumn 37, Issue 4, 2009, Pages 839-851

Spillover Effects Among the Greater China Stock Markets

Author keywords

Asia; China; Hong Kong; spillover effects; stock markets; Taiwan

Indexed keywords

EMPIRICAL ANALYSIS; FINANCIAL SYSTEM; INVESTMENT; SPILLOVER EFFECT; STOCK MARKET;

EID: 61849171863     PISSN: 0305750X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.worlddev.2008.07.015     Document Type: Article
Times cited : (99)

References (51)
  • 1
    • 84944838161 scopus 로고
    • International portfolio choice and corporate finance: A synthesis
    • Adler M., and Dumas B. International portfolio choice and corporate finance: A synthesis. Journal of Finance 38 (1983) 925-984
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 2
    • 0033463842 scopus 로고    scopus 로고
    • Volatility in emerging markets, journal of financial and quantitative analysis
    • Aggarwal R., Inclan C., and Leal R. Volatility in emerging markets, journal of financial and quantitative analysis. Journal of Finance 34 (1999) 33-55
    • (1999) Journal of Finance , vol.34 , pp. 33-55
    • Aggarwal, R.1    Inclan, C.2    Leal, R.3
  • 3
    • 77957186796 scopus 로고
    • Market integration and investment barriers in emerging equity markets
    • Bekaert G. Market integration and investment barriers in emerging equity markets. World Bank Economic Review 9 (1995) 75-107
    • (1995) World Bank Economic Review , vol.9 , pp. 75-107
    • Bekaert, G.1
  • 5
    • 0001211603 scopus 로고
    • Estimation and inference in nonlinear structural models, annals of economic and social measurement
    • Berndt E.K., Hall H.B., Hall R.E., and Hausmann J.A. Estimation and inference in nonlinear structural models, annals of economic and social measurement. World Bank Economic Review 3/4 (1974) 653-665
    • (1974) World Bank Economic Review , vol.3-4 , pp. 653-665
    • Berndt, E.K.1    Hall, H.B.2    Hall, R.E.3    Hausmann, J.A.4
  • 7
    • 0001023182 scopus 로고
    • Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH Model
    • Bollerslev T. Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH Model. The Review of Economics and Statistics 72 (1990) 498-505
    • (1990) The Review of Economics and Statistics , vol.72 , pp. 498-505
    • Bollerslev, T.1
  • 8
    • 0031161635 scopus 로고    scopus 로고
    • Price and volatility spillovers in Scandinavian stock markets
    • Booth G.G., Martikainen T., and Tse Y. Price and volatility spillovers in Scandinavian stock markets. Journal of Banking and Finance 21 (1997) 811-823
    • (1997) Journal of Banking and Finance , vol.21 , pp. 811-823
    • Booth, G.G.1    Martikainen, T.2    Tse, Y.3
  • 9
    • 84977709173 scopus 로고
    • Predictable stock returns in the United States and Japan: A study of long-term capital market integration
    • Campbell J.Y., and Hamao Y. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance 47 (1992) 43-70
    • (1992) Journal of Finance , vol.47 , pp. 43-70
    • Campbell, J.Y.1    Hamao, Y.2
  • 10
    • 84987492218 scopus 로고
    • An empirical analysis of stock prices in major Asian markets and the United States
    • Chan K.C., Gup B., and Pan M. An empirical analysis of stock prices in major Asian markets and the United States. Financial Review 27 (1992) 289-307
    • (1992) Financial Review , vol.27 , pp. 289-307
    • Chan, K.C.1    Gup, B.2    Pan, M.3
  • 11
    • 2942715122 scopus 로고    scopus 로고
    • Risk sharing and asset prices: Evidence from a natural experiment
    • Chari A., and Henry P.B. Risk sharing and asset prices: Evidence from a natural experiment. Journal of Finance 59 (2004) 1295-1324
    • (2004) Journal of Finance , vol.59 , pp. 1295-1324
    • Chari, A.1    Henry, P.B.2
  • 13
    • 18844387413 scopus 로고    scopus 로고
    • Dynamic linkages between the greater China economic area stock markets - Mainland China, Hong Kong, and Taiwan
    • Cheng H., and Glascock J.L. Dynamic linkages between the greater China economic area stock markets - Mainland China, Hong Kong, and Taiwan. Review of Quantitative Finance and Accounting 24 (2005) 343-357
    • (2005) Review of Quantitative Finance and Accounting , vol.24 , pp. 343-357
    • Cheng, H.1    Glascock, J.L.2
  • 14
    • 21844484426 scopus 로고
    • Stock market interdependencies: Evidence from the Asian NIEs
    • Chowdhury A.R. Stock market interdependencies: Evidence from the Asian NIEs. Journal of Macroeconomics 16 (1994) 629-651
    • (1994) Journal of Macroeconomics , vol.16 , pp. 629-651
    • Chowdhury, A.R.1
  • 15
    • 21344496561 scopus 로고
    • Home bias in equity portfolios, inflation hedging, and international capital market equilibrium
    • Cooper I., and Kaplanis E. Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7 (1994) 45-60
    • (1994) Review of Financial Studies , vol.7 , pp. 45-60
    • Cooper, I.1    Kaplanis, E.2
  • 16
    • 61849185364 scopus 로고    scopus 로고
    • Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets
    • Unpublished Manuscript
    • Daal, E., Naka, A., & Yu, J.-S. (2006). Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets. Unpublished Manuscript.
    • (2006)
    • Daal, E.1    Naka, A.2    Yu, J.-S.3
  • 17
    • 2342547325 scopus 로고    scopus 로고
    • Permanent and transitory driving forces in the Asia-Pacific stock markets
    • Darrat A., and Zhong M. Permanent and transitory driving forces in the Asia-Pacific stock markets. Financial Review 37 (2002) 35-52
    • (2002) Financial Review , vol.37 , pp. 35-52
    • Darrat, A.1    Zhong, M.2
  • 18
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey D., and Fuller W. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (1979) 427-431
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.2
  • 19
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle R.F., and Granger C.W.J. Cointegration and error correction: Representation, estimation, and testing. Econometrica 55 (1987) 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 20
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news in volatility
    • Engle R.F., and Ng V.K. Measuring and testing the impact of news in volatility. Journal of Finance 48 (1993) 1749-1778
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.F.1    Ng, V.K.2
  • 22
    • 33646769989 scopus 로고    scopus 로고
    • Regulatory changes and market liquidity in Chinese stock markets
    • Gao L., and Kling G. Regulatory changes and market liquidity in Chinese stock markets. Emerging Markets Review 7 (2006) 162-175
    • (2006) Emerging Markets Review , vol.7 , pp. 162-175
    • Gao, L.1    Kling, G.2
  • 23
    • 85040428425 scopus 로고    scopus 로고
    • Who moves the Asia-Pacific stock markets - Japan or US? Empirical evidence based on the theory of cointegration
    • Ghosh A., Saidi R., and Johnson K.H. Who moves the Asia-Pacific stock markets - Japan or US? Empirical evidence based on the theory of cointegration. Financial Review 34 (1999) 159-170
    • (1999) Financial Review , vol.34 , pp. 159-170
    • Ghosh, A.1    Saidi, R.2    Johnson, K.H.3
  • 24
    • 1242344749 scopus 로고    scopus 로고
    • The dynamic interrelationships between the greater China share markets
    • Groenewold N., Tang S.H.K., and Wu Y. The dynamic interrelationships between the greater China share markets. China Economic Review 15 (2004) 45-62
    • (2004) China Economic Review , vol.15 , pp. 45-62
    • Groenewold, N.1    Tang, S.H.K.2    Wu, Y.3
  • 25
    • 0347770665 scopus 로고    scopus 로고
    • Closed-end fund discounts with informed ownership differential
    • Grullon G., and Wang F.A. Closed-end fund discounts with informed ownership differential. Journal of Financial Intermediation 10 (2001) 171-205
    • (2001) Journal of Financial Intermediation , vol.10 , pp. 171-205
    • Grullon, G.1    Wang, F.A.2
  • 28
    • 21844487168 scopus 로고
    • Predictable risk and return in emerging markets
    • Harvey C.R. Predictable risk and return in emerging markets. Review of Financial Studies 8 (1995) 773-816
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.R.1
  • 29
  • 32
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration: With applications to the demand for money
    • Johansen S., and Juselius K. Maximum likelihood estimation and inference on cointegration: With applications to the demand for money. Oxford Bulletin of Economics and Statistics 52 (1990) 169-210
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 33
    • 5144220083 scopus 로고    scopus 로고
    • Asian economic integration and stock market comovement
    • Johnson R., and Soenen L. Asian economic integration and stock market comovement. Journal of Financial Research 25 (2002) 141-157
    • (2002) Journal of Financial Research , vol.25 , pp. 141-157
    • Johnson, R.1    Soenen, L.2
  • 34
    • 0031256734 scopus 로고    scopus 로고
    • Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan
    • Kang J., and Stulz R. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46 (1997) 3-28
    • (1997) Journal of Financial Economics , vol.46 , pp. 3-28
    • Kang, J.1    Stulz, R.2
  • 35
    • 66049088654 scopus 로고    scopus 로고
    • Are assets priced locally or globally?
    • Constantinides G., Harris M., and Stulz R. (Eds), North Holland, Amsterdam
    • Karolyi A., and Stulz R. Are assets priced locally or globally?. In: Constantinides G., Harris M., and Stulz R. (Eds). The handbook of the economics of finance (2003), North Holland, Amsterdam 975-1020
    • (2003) The handbook of the economics of finance , pp. 975-1020
    • Karolyi, A.1    Stulz, R.2
  • 37
    • 0036373021 scopus 로고    scopus 로고
    • Volatility linkages among interest rates: Implications for global monetary policy
    • Laopodis N.T. Volatility linkages among interest rates: Implications for global monetary policy. International Journal of Finance and Economics 7 (2002) 215-233
    • (2002) International Journal of Finance and Economics , vol.7 , pp. 215-233
    • Laopodis, N.T.1
  • 38
    • 0842303670 scopus 로고    scopus 로고
    • European and international asymmetry in the volatility transmission mechanism: The "German Dominance Hypothesis" revisited
    • Laopodis N.T. European and international asymmetry in the volatility transmission mechanism: The "German Dominance Hypothesis" revisited. Journal of Economics and Business 56 (2004) 75-97
    • (2004) Journal of Economics and Business , vol.56 , pp. 75-97
    • Laopodis, N.T.1
  • 39
    • 0032122394 scopus 로고    scopus 로고
    • Capital control liberalization and stock market development
    • Levine R., and Zervos S. Capital control liberalization and stock market development. World Development 26 (1998) 1169-1183
    • (1998) World Development , vol.26 , pp. 1169-1183
    • Levine, R.1    Zervos, S.2
  • 40
    • 0002378331 scopus 로고
    • Critical values for cointegration tests
    • Engle R.F., and Granger C.W.J. (Eds), Oxford University Press, Oxford
    • MacKinnon J. Critical values for cointegration tests. In: Engle R.F., and Granger C.W.J. (Eds). Long-run economic relationships (1991), Oxford University Press, Oxford 267-276
    • (1991) Long-run economic relationships , pp. 267-276
    • MacKinnon, J.1
  • 41
    • 0001918747 scopus 로고    scopus 로고
    • A comparative analysis of the propagation of stock market fluctuations on alternative models of dynamic causal linkage
    • Masih A.M., and Masih R. A comparative analysis of the propagation of stock market fluctuations on alternative models of dynamic causal linkage. Applied Financial Economics 7 (1997) 59-74
    • (1997) Applied Financial Economics , vol.7 , pp. 59-74
    • Masih, A.M.1    Masih, R.2
  • 42
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: A new approach
    • Nelson D. Conditional heteroscedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 43
    • 0031286983 scopus 로고    scopus 로고
    • Using nonlinear tests to examine integration between real estate and stock markets
    • Okunev J., and Wilson J. Using nonlinear tests to examine integration between real estate and stock markets. Real Estate Economics 25 (1997) 487-503
    • (1997) Real Estate Economics , vol.25 , pp. 487-503
    • Okunev, J.1    Wilson, J.2
  • 44
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum M. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics 54 (1992) 461-471
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-471
    • Osterwald-Lenum, M.1
  • 45
    • 0000308535 scopus 로고
    • Time series regressions with a unit root
    • Phillips P. Time series regressions with a unit root. Econometrica 55 (1987) 277-301
    • (1987) Econometrica , vol.55 , pp. 277-301
    • Phillips, P.1
  • 46
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips P., and Perron P. Testing for a unit root in time series regression. Biometrika 75 (1988) 335-346
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 47
    • 0036426178 scopus 로고    scopus 로고
    • Long-term trends and cycles in ASEAN stock markets
    • Sharma S., and Wongbangpo P. Long-term trends and cycles in ASEAN stock markets. Review of Financial Economics 11 (2002) 299-315
    • (2002) Review of Financial Economics , vol.11 , pp. 299-315
    • Sharma, S.1    Wongbangpo, P.2
  • 48
    • 61849170784 scopus 로고    scopus 로고
    • Working paper, Center for China Financial Research & School of Economics and Finance, University of Hong Kong
    • Song, F. (2002). The development of the Chinese stock markets. Working paper, Center for China Financial Research & School of Economics and Finance, University of Hong Kong.
    • (2002) The development of the Chinese stock markets
    • Song, F.1
  • 49
    • 1342328594 scopus 로고    scopus 로고
    • Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world
    • Wang S.S., and Firth M. Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world. International Financial Markets, Institutions, and Money 14 (2004) 235-254
    • (2004) International Financial Markets, Institutions, and Money , vol.14 , pp. 235-254
    • Wang, S.S.1    Firth, M.2
  • 50
    • 61849088587 scopus 로고    scopus 로고
    • World Federation of Exchanges. Focus, various issues
    • World Federation of Exchanges. Focus, various issues.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.