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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

Persistent link: https://www.econbiz.de/10011296721

Estimating Fluctuating Volatility Time Series Returns for a Cluster of International Stock Markets : A Case Study for Switzerland, Austria, China and Hong Kong

BADARLA, Suresh; NATHWANI, Bharti; Trivedi, Jatin; … - 2022

The major aim of this empirical study is to estimate the volatility time series returns for a cluster of international … capture volatility clusters and changes in long and short term volatility impact. The econometric approch is based on randomly … using GARCH family models for estimating financial market volatility. Moreover, the sampled time interval includes two …

Persistent link: https://www.econbiz.de/10013290005

Stock market linkages and spillover effects : an empirical analysis of select Asian markets

Sehgal, Sanjay; Bijoy, Kumar; Saini, Sakshi - In: Theoretical economics letters 9 (2019) 5, pp. 1447-1472

Persistent link: https://www.econbiz.de/10012104479

Seasonality Effects through ARCH and GARCH Model : Evidence from Shanghai Stock Market (China)

Ahmed, Rizwan - 2016

The paper examines three seasonal effects from Shanghai Stock market China: the weekend effect, turn of the month and holiday effect. The evidences of weekend effect observed on Friday along with seasonality effect on alternate days of the week. In terms of monthly effect, we have found February...

Persistent link: https://www.econbiz.de/10012984798

The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages

Liow, Kim Hiang - In: Journal of property investment & finance 32 (2014) 6, pp. 610-641

Persistent link: https://www.econbiz.de/10010416248

Stock returns, volatility, and cointegration among Chinese stock markets

Qi Zhou; Zhou, Zhong-guo - In: China & world economy 13 (2005) 2, pp. 106-122

Persistent link: https://www.econbiz.de/10003001439

Dynamic volatility spillovers across the Extended Greater China Region stock markets

Diaz, John Francis - In: Global economy journal : GEJ 21 (2021) 1, pp. 2150003-1-2150003-22

Persistent link: https://www.econbiz.de/10012805962

Variance persistence in the greater China region : a multivariate GARCH approach

Diaz, John Francis; Qian, Peh Ying; Tan, Genevieve Liao - In: The Lahore journal of economics 23 (2018) 2, pp. 49-68

Persistent link: https://www.econbiz.de/10011980529

How do foreign investors affect China's stock return volatility? : evidence from the Shanghai-Hong Kong Stock Connect Program

Chen, Weihua; Mamon, Rogemar; Xiong, Heng; Zeng, Pingping - In: Asia-Pacific journal of accounting & economics : … 31 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014489077

Dynamic interactions among macroeconomic variables and stock indexes in Taiwan, Hong Kong, and China

Lai, Syouching; Cheng, Teng Yuan; Li, Hung-Chih; Chien, … - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 213-235

Persistent link: https://www.econbiz.de/10010258905

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