A Time-Series Analysis of the Shanghai and New York Stock Price Indices
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References listed on IDEAS
- Yao, Chengxi, 1998. "Stock Market and Futures Market in the People's Republic of China," OUP Catalogue, Oxford University Press, number 9780195907254.
- Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
- Chow, Gregory C. & Fan, Zhao-zhi & Hu, Jin-yan, 1999. "Shanghai Stock Prices as Determined by the Present-Value Model," Journal of Comparative Economics, Elsevier, vol. 27(3), pages 553-561, September.
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- Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
More about this item
KeywordsTime series analysis; Rate of return; Volatility; Autogressions; Granger causality; Spurious correlation; Shanghai stock price; New York stock price;
- A - General Economics and Teaching
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-16 (All new papers)
- NEP-FIN-2003-06-16 (Finance)
- NEP-TRA-2003-06-16 (Transition Economics)
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