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Returns and volatility on the Chinese stock markets

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Author Info
Robert D. 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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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 13 (2003)
Issue (Month): 10 (October)
Pages: 747-752
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Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:747-752

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  1. Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December. [Downloadable!] (restricted)
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  2. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May. [Downloadable!] (restricted)
  3. Su, Dongwei & Fleisher, Belton M., 1998. "Risk, Return and Regulation in Chinese Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 239-256, May. [Downloadable!] (restricted)
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  4. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 175-205. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Mohamed El Hedi AROURI & Chen Xiang LIU, 2008. "Stock craze: an empirical analysis of PER in Chinese equity market," Economics Bulletin, Economics Bulletin, vol. 14(1), pages 1-17. [Downloadable!]
  2. 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. [Downloadable!]
  3. 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 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
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