Co-movements of Shanghai, Shenzhen, HK and Taiwan Stock Markets

被引：0

作者：

Wu, Liguang ^{[1
]}

Huang, Zhen ^{[1
]}

机构：

[1] Jinan Univ, Sch Econ, Guangzhou, Guangdong, Peoples R China

来源：

CONFERENCE ON WEB BASED BUSINESS MANAGEMENT, VOLS 1-2 | 2010年

关键词：

Correlation; Volatility spillover; Granger test;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper investigates the co-movements among Shanghai, Shenzhen, H.K. and Taiwan stock markets by examining the correlations as well as the return and volatility spillover with Granger causality test. The findings indicate that correlations between Shanghai (and Shenzhen) and Hong Kong is lower than that between Shanghai and Shenzhen, and that the correlation between Shanghai or Shenzhen and Taiwan is even lower. In addition, Shanghai and Shenzhen markets are influenced by both Taiwan and Hong Kong market conditions, but are more influenced by Hong Kong.

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页码：1057 / 1060

页数：4