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

页码：961 / 967

页数：7

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