Co-movements of Shanghai and New York stock prices by time-varying regressions

Journal of Comparative Economics

Volumn 39, Issue 4, 2011, Pages 577-583

  Chow, Gregory C ^a   Liu, Changjiang ^b   Niu, Linlin ^b,c  

^a PRINCETON UNIVERSITY   (United States)

^b XIAMEN UNIVERSITY   (China)

^c BANK OF FINLAND   (Finland)

Author keywords

China; Globalization; Rate of return; Stock markets; Time varying parameter regression

Indexed keywords

EID: 82755182863     PISSN: 01475967     EISSN: 10957227     Source Type: Journal    
DOI: 10.1016/j.jce.2011.06.001     Document Type: Article

References (9)

1. Cheng H., Glascock J. Dynamic linkages between the greater china economic area stock markets-Mainland China, Hong Kong, and Taiwan. Review of Quantitative Finance and Accounting 2005, 24(4):343-357.
2. Chow G.C., Lawler C.C. A time series analysis of Shanghai and New York stock price indices. Annals of Economics and Finance 2003, 4:17-35.
3. Engel R.F., Ito T., Lin W. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 1990, 58(3):525-542.
4. Ghosh A., Saidi R., Johnson K. Who moves the Asia-Pacific stock markets -US or Japan? Empirical evidence based on the theory of cointegration. Financial Review 1999, 34(1):159-169.
5. Groenewold N., Tang S., Wu Y. The dynamic interrelationships between the greater China share markets. China Economic Review 2004, 15(1):45-62.
6. Ito T., Engel R.F., Lin W. Where does the meteor shower come from?: The role of stochastic policy coordination. Journal of International Economics 1992, 32(2):221-240.
7. Li H. International linkages of the Chinese stock exchanges: a multivariate GARCH analysis. Applied Financial Economics 2007, 17:285-297.
8. Zhang S., Paya I., Peel D. Linkages between Shanghai and Hong Kong stock indices. Applied Financial Economics 2009, 19(23):1847-1857.
9. Zhu H., Lu Z., Wang S. Causal linkages among Shanghai, Shenzhen, and Hong Kong stock markets. International Journal of Theoretical and Applied Finance 2004, 7(2):135-149.