Spillover effects of chinese stock markets

Ginny Ju Ann Yang, Koyin Chang, Yung Hsiang Ying, Chen hsun Lee

    Research output: Contribution to journalArticlepeer-review

    Abstract

    This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets, Our results show that cross-sectional interdependence is apparent in Chinese stock markets: however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.

    Original languageEnglish
    Pages (from-to)200-205
    Number of pages6
    JournalEconomics Bulletin
    Volume34
    Issue number1
    Publication statusPublished - 2014 Jan 1

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

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