The Interaction and Volatility Asymmetry of Unexpected Returns in the Greater China Stock Market - The response of investors to unexpected returns and the information transmission in the stock market of the Greater China area are investigated in this study. Firstly, we analyze the asymmetric reaction of return volatility to good and bad rows by utilizing GARCH model. We find that the impact of bad ...
Year of publication: |
2000
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Authors: | Yeh, Yin-Hua ; Lee, Tsun-Siou |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 11172435. - Vol. 11.2000, 1-2, p. 129-150
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