The contemporaneous interactions between the US, Japan, and Hong Kong stock markets

被引：10
|
作者：
Lee, KY [1 ]
机构：
[1] Sungkyunkwan Univ, Sch Econ, Seoul 110745, South Korea
来源：
ECONOMICS LETTERS | 2006年 / 90卷 / 01期
关键词：
structural-form GJR; VAR; BLS test; correlation; leverage effect;
D O I：
10.1016/j.econlet.2005.04.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
By estimating a structural-form GJR model, this paper finds that contemporaneous interactions exist between the stock markets of the U.S., Japan, and Hong Kong. However, it is determined that Hong Kong stock returns react minimally to increases in Japan stock returns. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：21 / 27
页数：7
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