期刊詳細資料 Journal detailed information  
作者(Author)Hsiao, Jung-Lieh
篇名(Article title)Bilateral Relationships between the Shanghai A- and B-shares Stock Markets: Evidence from the Opening of B-shares to Chinese Citizens
期刊名(Journal name)Asia Pacific Management Review
國際期刊(International Journal)TSSCI
中文摘要(Abstrct)
ABSTRCTThis paper sets up a bivariate EGARCH-X in mean with MA (1) model to investigate the dynamic interactions of A- and B-shares markets in the Shanghai and in the Shenzhen exchanges, respectively and to explore the effects of stock market liberalization on cross correlations, the impacts of non-trading days on volatility, volatility persistence, influence of price deviation on volatility, and volatility spillovers (or asymmetric behavior). It is noted that information matrix test developed by Bera and Kim (2002) is in particular adopted to test for constancy of correlation. The intervention analysis has exhibited some important shifts of several parameters after stock market liberalization.
中文關鍵字(Keyword)
KEYWORDBivariate EGARCH-X; Stock market liberalization; Non-trading days; Information matrix test; Intervention analysis
卷期(Volume No)Vol. 17 No. 1
頁數(Page number)pp. 1~17
年份(Year)2012
語言(Language)英文 English