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Asymmetric spillover effects between the Shanghai and Hong Kong stock markets : evidence from quantile lagged regression

Zhu, Huiming; Tang, Yueli; Guo, Peng - In: Applied economics 49 (2017) 9, pp. 886-902

Persistent link: https://www.econbiz.de/10011811073

Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets

Wu, Weiou; Lau, Chi Keung; Vigne, Samuel A. - In: Research in international business and finance 42 (2017), pp. 1137-1149

Persistent link: https://www.econbiz.de/10011760780

Stock market volatility and trading volume : a special case in Hong Kong with stock connect turnover

Chan, Brian Sing Fan; Cheng, Andy Cheuk Hin; Ma, Alfred … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17

dynamic relationships among volatility, trading volume and turnover among three stock markets, namely Shanghai, Shenzhen, and … turnover contributes to future realized volatility and market volume of these three markets. Our results support the evidence … of causality from Stock Connect turnover to market volatility and trading volume. The finding of this causality is …

Persistent link: https://www.econbiz.de/10011960613

Return and volatility spillovers among sector indexes in Shanghai-Shenzhen-Hong Kong stock markets : evidence from the time and frequency domains

Chen, Wei; Li, Rui; Yao, Yinhong - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 13, pp. 3840-3852

Persistent link: https://www.econbiz.de/10013462427

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

The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference

Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014446963

Stock market response to Covid-19 pandemic period in Asian equity markets : an event study

Babu, Manivannan; Hariharan, C.; Kathiravan, Chinnadurai; … - In: Finance India : the quarterly journal of Indian … 37 (2023) 1, pp. 147-160

Persistent link: https://www.econbiz.de/10014413961

Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility

Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10013177289

Day-of-the-week effect on the VIX : a parsimonious representation

Gonzalez-Perez, Maria T.; Guerrero, David E. - In: The North American journal of economics and finance : a … 25 (2013), pp. 243-260

Persistent link: https://www.econbiz.de/10009779259

The January effect in the foreign exchange market : evidence for seasonal equity carry trades

Girardin, Eric; Namin, Fatemeh Salimi - In: Economic modelling 81 (2019), pp. 422-439

Persistent link: https://www.econbiz.de/10012202131