Spillover effects of chinese stock markets

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

    研究成果: 雜誌貢獻期刊論文同行評審


    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.

    頁(從 - 到)200-205
    期刊Economics Bulletin
    出版狀態已發佈 - 2014 一月 1

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

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