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Spillover Effects between Shanghai, Shenzhen and Hong Kong: A Comparative Analysis Based on" The Through Train of Hong Kong Stocks"
Author(s): Zhang Xindong, Zhao Fang
Pages: 99-
106
Year: 2009
Issue:
4
Journal: Nankai Business Review
Keyword: 股票市场; 溢出效应; VAR模型; 多元GARcH模型;
Abstract: 本文以沪、深、港三地股票市场的数据为样本,用VAR模型和二元GARCH模型重点研究"港股直通车"事件是否对港市与沪、深股市的收益率及波动溢出关系有显著影响.研究结果表明,"港股直通车"公布之前,港市与沪、深股市间不存在任何方向的收益率溢出效应,但存在单向波动溢出效应;"港股直通车"公布之后.港市与沪、深股市间不仅存在单向收益率溢出效应,港市与沪市间还存在双向波动溢出效应,与深市间则存在单向波动溢出...
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