Co-movements of Shanghai and New York stock prices by time-varying regressions
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- Gregory C Chow & Changjiang Liu & Linlin Niu, 2013. "Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland, Institute for Economies in Transition.
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More about this item
KeywordsChina; Globalization; Rate of return; Stock markets; Time-varying parameter regression;
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- P43 - Economic Systems - - Other Economic Systems - - - Finance; Public Finance
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