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Two-Factor Decomposition Analysis for Correlation between Mainland C hina and H ong K ong Stock Markets

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  • Kent Wang
  • Li Miao
  • Jiawei Li

Abstract

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Suggested Citation

  • Kent Wang & Li Miao & Jiawei Li, 2013. "Two-Factor Decomposition Analysis for Correlation between Mainland C hina and H ong K ong Stock Markets," International Review of Finance, International Review of Finance Ltd., vol. 13(1), pages 93-110, March.
    • Handle: RePEc:bla:irvfin:v:13:y:2013:i:1:p:93-110
    DOI: 10.1111/irfi.2013.13.issue-1
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    Citations

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    Cited by:

    1. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2019. "Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 58-68.
    2. Han, Jianlei & Pan, Zheyao, 2017. "On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 36(C), pages 115-131.
    3. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.
    4. Carmelo Giaccotto & Alain Krapl, 2014. "Good News and Bad News about Firm-Level Stock Returns of Internationally Exposed Firms," International Review of Finance, International Review of Finance Ltd., vol. 14(4), pages 523-550, December.
    5. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

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