An application of wavelet analysis to the spillovers of stock markets in China

被引：0
作者：
Su, CJ [1 ]
Liu, X [1 ]
Liu, LP [1 ]
机构：
[1] Chongqing Univ, Coll Econ & Business Adm, Chongqing 400044, Peoples R China
来源：
WAVELET ANALYSIS AND ITS APPLICATIONS (WAA), VOLS 1 AND 2 | 2003年
关键词：
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The Multi-resolution Decomposition Approach is used in this paper to test spillover effects based on wavelet analysis, which is applied to investigate the dynamics and the potential interaction between Shanghai stock market and Shenzhen stock market. Substantial spillover effects of the price and volatility are found in the two stock markets.
引用
收藏
页码：961 / 967
页数：7
相关论文
共 50 条
[21]   Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs [J].
Yang, Kun ;
Wei, Yu ;
He, Jianmin ;
Li, Shouwei .
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 526
[22]   Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis [J].
Matar, Ali ;
Al-Rdaydeh, Mahmoud ;
Ghazalat, Anas ;
Eneizan, Bilal .
COGENT BUSINESS & MANAGEMENT, 2021, 8 (01)
[23]   Stock markets' bubbles burst and volatility spillovers in agricultural commodity markets [J].
Baldi, Lucia ;
Peri, Massimo ;
Vandone, Daniela .
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 38 :277-285
[24]   Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis [J].
Jankova, Zuzana .
SCIENTIFIC PAPERS OF THE UNIVERSITY OF PARDUBICE-SERIES D-FACULTY OF ECONOMICS AND ADMINISTRATION, 2020, 28 (03)
[25]   Volatility and return spillovers between stock markets and cryptocurrencies [J].
Uzonwanne, Godfrey .
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 82 :30-36
[26]   Spillovers between output and stock prices: a wavelet approach [J].
McMillan, David G. ;
Tiwari, Aviral Kumar .
STUDIES IN ECONOMICS AND FINANCE, 2016, 33 (04) :625-637
[27]   Return and volatility spillovers among CIVETS stock markets [J].
Korkmaz, Turhan ;
Cevik, Emrah I. ;
Atukeren, Erdal .
EMERGING MARKETS REVIEW, 2012, 13 (02) :230-252
[28]   Geopolitical risk and volatility spillovers in oil and stock markets [J].
Smales, L. A. .
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 80 :358-366
[29]   Foreign News and Spillovers in Emerging European Stock Markets [J].
Hanousek, Jan ;
Kocenda, Evzen .
REVIEW OF INTERNATIONAL ECONOMICS, 2011, 19 (01) :170-188
[30]   Global and regional volatility spillovers to GCC stock markets [J].
Alotaibi, Abdullah R. ;
Mishra, Anil V. .
ECONOMIC MODELLING, 2015, 45 :38-49
12345