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Extreme Returns and Contagion in Chinese and European Equity Markets: a Comparison of SSEC and DAX

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  • Angi Rösch
  • Harald Schmidbauer

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  • Angi Rösch & Harald Schmidbauer, 2006. "Extreme Returns and Contagion in Chinese and European Equity Markets: a Comparison of SSEC and DAX," EcoMod2006 272100074, EcoMod.
    • Handle: RePEc:ekd:002721:272100074
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    References listed on IDEAS

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    1. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    2. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Xiaoqing Eleanor Xu & Hung–Gay Fung, 2002. "Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York," The Financial Review, Eastern Finance Association, vol. 37(4), pages 563-588, November.
    5. Robert Brooks & Vanitha Ragunathan, 2003. "Returns and volatility on the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 747-752.
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