Volatility spillovers between the Chinese and world equity markets

Pacific Basin Finance Journal

Volumn 20, Issue 2, 2012, Pages 247-270

  Zhou, Xiangyi ^a   Zhang, Weijin ^a   Zhang, Jie ^b  

^a XI'AN JIAOTONG UNIVERSITY   (China)

^b TEXAS A AND M UNIVERSITY   (United States)

Author keywords

China; Financial crisis; Spillover index; Variance decomposition; Vector autoregression; World equity markets

Indexed keywords

EID: 80054865556     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2011.08.002     Document Type: Article

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