Title :
Spillover effect between Shanghai, Shenzhen and Hong Kong stock market: A comparative analysis based on “Through train of Hong Kong stock”
Author :
Zhang, Xin-Dong ; Zhao, Fang ; Feng, Ya-Zhu
Author_Institution :
Sch. of Manage., Shanxi Univ., Taiyuan, China
Abstract :
Focusing on whether ldquoThrough train of Hong Kong stockrdquo has a significant impact on return and volatility spillover relationship between Hong Kong, Shanghai and Shenzhen stock market, this paper applies the VAR and Multiple GARCH model to the research based on the three stock markets data. The evidence shows that no return spillover effect exits between Hong Kong stock market and Shanghai or Shenzhen stock markets before the announcement of ldquoThrough train of Hong Kong stockrdquo, while there is a one-way volatility spillover effect. Additionally, one-way return and two-way volatility spillover effect exist between Hong Kong and Shanghai stock market but one-way return and volatility spillover effects between Hong Kong and Shenzhen stock market after the announcement of ldquoThrough train of Hong Kong stockrdquo.
Keywords :
autoregressive processes; multivariable systems; stock markets; China stock market; Hong Kong stock market; Shanghai stock market; Shenzhen stock market; multiple GARCH model; vector autoregressive model; volatility spillover effect; Conference management; Couplings; Econometrics; Engineering management; IEEE news; Investments; Management training; Portfolios; Reactive power; Stock markets; VAR model; multivariate GARCH model; spillover effect; stock market;
Conference_Titel :
Management Science and Engineering, 2009. ICMSE 2009. International Conference on
Conference_Location :
Moscow
Print_ISBN :
978-1-4244-3970-6
Electronic_ISBN :
978-1-4244-3971-3
DOI :
10.1109/ICMSE.2009.5317979