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Returns and volatility on the Chinese stock markets

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  • Robert Brooks
  • Vanitha Ragunathan

Abstract

The transfer of information is analysed within two distinct markets in the same country, specifically, the Chinese stock markets. The presence of autocorrelation and cross correlation in the four main stock indices is examined. The results for stock index data find spillovers in both directions from 'A' and 'B' shares. However, it is also documented that this feature of the market does not extend to volatility in that there is no spillover in volatility from 'B' share prices to 'A' share prices or vice-versa.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 13 (2003)
Issue (Month): 10 ()
Pages: 747-752

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Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:747-752

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References

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  1. Belton Fleisher & Dongwei Su, 1998. "Why Does Return Volatility Differ in Chinese Stock Markets?," Working Papers, Ohio State University, Department of Economics 98-03, Ohio State University, Department of Economics.
  2. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
  3. Chui, Andy C W & Kwok, Chuck C Y, 1998. "Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-53, Fall.
  4. Su, Dongwei & Fleisher, Belton M., 1998. "Risk, Return and Regulation in Chinese Stock Markets," Journal of Economics and Business, Elsevier, Elsevier, vol. 50(3), pages 239-256, May.
  5. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 2(2-3), pages 243-260, May.
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Cited by:
  1. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers, University of Connecticut, Department of Economics 2008-49, University of Connecticut, Department of Economics.
  2. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(4), pages 453-475, September.
  3. Kozluk, Tomasz, 2008. "Global and Regional Links between Stock Markets - the Case of Russia and China," BOFIT Discussion Papers 4/2008, Bank of Finland, Institute for Economies in Transition.
  4. repec:ebl:ecbull:v:14:y:2008:i:1:p:1-17 is not listed on IDEAS
  5. Jer-Shiou Chiou & Pei-Shan Wu & Ming-Chih Lee, 2006. "Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(17), pages 1309-1316.
  6. Chien-Liang Chiu & Mingchih Lee & Chun-Da Chen, 2005. "Removal of an investment restriction: the 'B' share experience from China's stock markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(4), pages 273-285.
  7. Zhian Chen & Hai Jiang & Donghui Li & Ah Boon Sim, 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 46(6), pages 140-157, November.
  8. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 19(4), pages 351-373, September.
  9. Chen Xiang LIU & Mohamed El Hedi AROURI, 2008. "Stock craze: an empirical analysis of PER in Chinese equity market," Economics Bulletin, AccessEcon, vol. 14(1), pages 1-17.

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