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

共 50 条

[41] Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets
Mensi, Walid
Gubareva, Mariya
Ko, Hee-Un
Vo, Xuan Vinh
Kang, Sang Hoon
FINANCIAL INNOVATION, 2023, 9 (01)
[42] COVID-19's impact on the spillover effect across the Chinese and US stock markets
Zhang, Yongmin
Mao, Jiaying
FINANCE RESEARCH LETTERS, 2022, 47
[43] Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening
Du, Jiangze
Chen, Xizhuo
Gong, Jincheng
Lin, Xiao
Lai, Kin Keung
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (04) : 3997 - 4019
[44] Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks
Chen, Zhang-Hangjian
Gao, Xiang
Insuwan, Apicha
HUMANITIES & SOCIAL SCIENCES COMMUNICATIONS, 2023, 10 (01):
[45] Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks
Zhang-Hangjian Chen
Xiang Gao
Apicha Insuwan
Humanities and Social Sciences Communications, 10
[46] Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets
Mensi, Walid
Al Rababa'a, Abdel Razzaq
Vo, Xuan Vinh
Kang, Sang Hoon
ENERGY ECONOMICS, 2021, 98 (98)
[47] Volatility Spillover Effects between Chinese Mainland and Taiwan Equity Markets
He, Hongxia
Hu, Ridong
2011 AASRI CONFERENCE ON INFORMATION TECHNOLOGY AND ECONOMIC DEVELOPMENT (AASRI-ITED 2011), VOL 1, 2011, : 190 - 193
[48] Volatility Spillover Effects between Chinese Mainland and Taiwan Equity Markets
He, Hongxia
Hu, Ridong
2011 INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS AND NEURAL COMPUTING (FSNC 2011), VOL IV, 2011, : 190 - 193
[49] Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle
Dai, Zhifeng
Zhu, Haoyang
Zhang, Xinhua
ENERGY ECONOMICS, 2022, 109
[50] Volatility Modeling and Spillover: The Turkish and Russian Stock Markets
Gencyurek, Ahmet Galip
ISTANBUL BUSINESS RESEARCH, 2024, 53 (01):

← 1 2 3 4 5 →