Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China

被引：30

作者：

Tsui, AK ^{[1
]}

Yu, Q ^{[1
]}

机构：

[1] Natl Univ Singapore, Dept Econ, Singapore 119260, Singapore

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 1999年 / 48卷 / 4-6期

关键词：

GARCH model; stock returns; Shanghai and Shenzhen markets;

D O I：

10.1016/S0378-4754(99)00030-0

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper we examine the behaviour of stock returns in two emerging markets of China. These are the Shanghai and Shenzhen markets. It is found that both markets suffer from negative mean returns on Monday and Tuesday, but positive returns on Friday. In addition, we employ the bivariate GARCH model of Bollerslev [T. Bollerslev, Review of Economics and Statistics 72 (1990) 498-505] to capture the co-movements of stock returns between the markets. However, the information matrix test statistic does not support the null hypothesis of a constant conditional correlation in the stock returns. (C) 1999 IMACS/Elsevier Science B.V. All rights reserved.

引用

页码：503 / 509

页数：7

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