Chow, Gregory C.; Lawler, Caroline C. - In: Annals of Economics and Finance 4 (2003) 1, pp. 17-35
A time series analysis of the Shanghai and New York Stock Exchange composite price indices is provided to compare the weekly rates of return and volatilities of these two markets and to study their co-movement in 1992-2002. The rate of return and volatility of the Shanghai market were higher....
