A Study on Shanghai-Shenzhen Stock Price Co-movement and Spillover Effects

被引：0

作者：

Yang, Chunxia ^{[1
]}

Xia, Bingying ^{[1
]}

Zou, Liping ^{[1
]}

Zhao, Qi ^{[1
]}

机构：

[1] Nanjing Univ Informat Sci & Technol, Inst Informat & Syst Sci, Nanjing 210044, Jiangsu, Peoples R China

来源：

2010 INTERNATIONAL COLLOQUIUM ON COMPUTING, COMMUNICATION, CONTROL, AND MANAGEMENT (CCCM2010), VOL II | 2010年

基金：

中国国家自然科学基金;

关键词：

Hibert-Huang Transform; Shanghai-Shenzhen Stock Markets; Return and Volatility; Spillover Effects;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

Study on spillover effects between different markets always is the focus of financial information processing. Here return's and volatility's spillover effects of Shanghai-Shenzhen stock markets are analyzed by Hilbert-Huang method. They are asymmetric. 2001 is a turning point year. Before 2001, the direction of return spillover effects is from Shenzhen to Shanghai. At the same time the direction of volatility spillover effects is from Shanghai to Shenzhen. However since 2001 both return's and volatility's spillover effects have taken on opposite state.

引用

页码：489 / 491

页数：3

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