Empirical Study on the Volatility Spillover Effect in "China Concept" Shares

被引：0
|
作者：
Wu, Danping
Xie, Charlene [1 ]
Hu, Xiaoling
机构：
[1] Univ Gloucestershire, Dept Urban Planning & Econ Management, Cheltenham, Glos, England
来源：
2010 THE 3RD INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND INDUSTRIAL APPLICATION (PACIIA2010), VOL IV | 2010年
关键词：
China Concept" Shares; Volatility Spillover Effect; DCC-MVGARCH model;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Our study examined the volatility spillover effects in "China Concept" shares. Both a variance decomposition analysis and a DCC-MVGARCH model show that "China Concept" shares returns are driven more by US market returns than Chinese stock market. Although it do not exist volatility spillovers effects among the Chinese stock market and "China Concept" shares, time-varying correlation coefficient between them shows that they are more closely linked in recent years.
引用
收藏
页码：17 / 20
页数：4
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