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Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach

  • Kin‐Yip Ho
  • Zhaoyong Zhang

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File URL: http://hdl.handle.net/10.1111/j.1467-9701.2012.01448.x
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Article provided by Wiley Blackwell in its journal The World Economy.

Volume (Year): 35 (2012)
Issue (Month): 4 (04)
Pages: 500-523

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Handle: RePEc:bla:worlde:v:35:y:2012:i:4:p:500-523
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  1. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  3. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
  4. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
  5. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
  6. Yin-wong Cheung & Menzie D. Chinn & Eiji Fujii, 2003. "China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration," Working Papers 152003, Hong Kong Institute for Monetary Research.
  7. Francis X. Diebold & Marc Nerlove, 1986. "The dynamics of exchange rate volatility: a multivariate latent factor ARCH model," Special Studies Papers 205, Board of Governors of the Federal Reserve System (U.S.).
  8. Johansson, Anders C. & Ljungwall, Christer, 2009. "Spillover Effects Among the Greater China Stock Markets," World Development, Elsevier, vol. 37(4), pages 839-851, April.
  9. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  10. Kitamura, Yoshihiro, 2010. "Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 158-171, June.
  11. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
  12. Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza, 2005. "Dynamic stock market integration driven by the European Monetary Union: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2475-2502, October.
  13. Zhaoyong Zhang & Xin Xu & Wei-Bin Zhang, 2003. "The dynamics of political and economic interactions between Mainland China and Taiwan," Papers in Regional Science, Springer, vol. 82(3), pages 373-388, September.
  14. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  15. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
  16. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
  17. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  18. Tsui, Albert K. & Yu, Qiao, 1999. "Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 503-509.
  19. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 62(4), pages 639-61, October.
  20. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  21. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
  22. Grant McQueen, 2004. "Whence GARCH? A Preference-Based Explanation for Conditional Volatility," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 915-949.
  23. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  24. Abdel-khalik, A. Rashad & Wong, Kie Ann & Wu, Annie, 1999. "The Information Environment of China's A and B Shares: Can We Make Sense of the Numbers?," The International Journal of Accounting, Elsevier, vol. 34(4), pages 467-489, 010.
  25. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  26. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  27. Tse, Y K & Tsui, Albert K C, 2002. "A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 351-62, July.
  28. Jing Chi & Ke Li & Martin Young, 2006. "Financial Integration In East Asian Equity Markets," Pacific Economic Review, Wiley Blackwell, vol. 11(4), pages 513-526, December.
  29. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  30. Ryuichi Yamamoto, 2006. "What Causes Persistence Of Stock Return Volatility? One Possible Explanation With An Artificial Stock Market," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 261-270.
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