Returns and volatility on the Chinese stock markets
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 13 (2003)
Issue (Month): 10 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
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.:
- Belton Fleisher & Dongwei Su, 1996.
"Risk, Return and Regulation in Chinese Stock Markets,"
005, Ohio State University, Department of Economics.
- 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.
- Belton Fleisher & Dongwei Su, 1998.
"Why Does Return Volatility Differ in Chinese Stock Markets?,"
98-03, Ohio State University, Department of Economics.
- 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.
- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989.
"When are contrarian profits due to stock market overreaction?,"
3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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.
- Andrew W. Lo & A. Craig MacKinlay, 1991. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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, vol. 15(4), pages 273-285.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009.
"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
0905, University of Nevada, Las Vegas , Department of Economics.
- 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.
- 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.
- 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, vol. 19(4), pages 351-373, September.
- 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, vol. 16(4), pages 453-475, September.
- 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, vol. 16(17), pages 1309-1316.
- 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.
- repec:ebl:ecbull:v:14:y:2008:i:1:p:1-17 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.