Article ID Journal Published Year Pages File Type
958268 Journal of Empirical Finance 2012 13 Pages PDF
Abstract
► Interaction of Chinese domestic (A), foreigners' (B) and overseas (H) stock markets is analysed. ► The structural DCC method is used to identify spillovers and contemporaneous correlation. ► Initially, the A market dominates. ► When the B market opened up for Chinese citizens, common factors largely replaced spillovers.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Common influences, spillover and integration in Chinese stock markets
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