Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan
AbstractIn this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 21 (2010)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/620162
Volatility spillovers Price spilloversl Stock market linkages;
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44395, University Library of Munich, Germany.
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