Spillover Effects of Chinese Stock Markets

被引：0

作者：

Yang, Ginny ju-ann ^{[1
]}

Chang, Koyin ^{[2
]}

Ying, Yung-Hsiang ^{[3
]}

Lee, Chen-hsun ^{[1
]}

机构：

[1] Natl Kaohsiung First Univ Sci & Technol, Dept Money & Banking, Kaohsiung, Taiwan

[2] Ming Chuan Univ, Dept Healthcare Informat & Management, Taipei, Taiwan

[3] Natl Taiwan Normal Univ, Undergrad Program Business Adm, Taipei, Taiwan

来源：

ECONOMICS BULLETIN | 2014年 / 34卷 / 01期

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Hers artz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets. Our results show that cross-sectional interdependence is apparent in Chinese stock markets; however, only stock markets with higher market values, such as those in Shanghai and Hong Kong. have influence on the Taiwan stock market.

引用

页码：200 / 205

页数：6

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