Ditapis dengan
The paradox of China’s international stock market co-movement
Purpose – The purpose of this paper is to examine the daily and overnight volatility spillover effects in common stock prices between China and G5 countries and explain their implications on the basis of empirical results. Design/methodology/approach – The analysis utilizes the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, the cross-correlation fu…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- Journal of Chinese Economic and Foreign Trade Studies Vol. 3 No. 3, 2010 pp. 235-253
- Judul Seri
- Journal of Chinese Economic and Foreign Trade Studies
- No. Panggil
- -
The paradox of China’s international stock market co-movement
The purpose of this paper is to examine the daily and overnight volatility spillover effects in common stock prices between China and G5 countries and explain their implications on the basis of empirical results. Design/methodology/approach – The analysis utilizes the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, the cross-correlation function appro…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- Journal of Chinese Economic and Foreign Trade Studies Vol. 3 No. 3, 2010
- Judul Seri
- Journal of Chinese Economic and Foreign Trade Studies
- No. Panggil
- -
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