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Market momentum amplifies market volatility risk : evidence from China's equity market

Liang, Chao; Luu Duc Toan Huynh; Li, Yan - In: Journal of international financial markets, … 88 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014483186

Liquidity and realized volatility prediction in Chinese stock market : a time-varying transitional dynamic perspective

Xu, Yanyan; Liu, Jing; Ma, Feng; Chu, Jielei - In: International review of economics & finance : IREF 89 (2024) 1, pp. 543-560

Persistent link: https://www.econbiz.de/10014446494

Trading volume and realized volatility forecasting : evidence from the China stock market

Liu, Min; Choo, Wei Chong; Lee, Chi-Chuan; Lee, Chien-chiang - In: Journal of forecasting 42 (2023) 1, pp. 76-100

Persistent link: https://www.econbiz.de/10013465763

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …

Persistent link: https://www.econbiz.de/10013397677

International linkages of the Chinese stock exchange : a multivariate GARCH analysis

Li, Hong - In: Applied financial economics 17 (2007) 4/6, pp. 285-297

Persistent link: https://www.econbiz.de/10003445979

Volatility spillovers between the US and China stock markets : structural break test with symmetric and asymmetric GARCH approaches

Moon, Gyu-hyen; Yu, Wei-choun - In: Global economic review 39 (2010) 2, pp. 129-149

Persistent link: https://www.econbiz.de/10003997793

Oil price shocks and stock market returns : new evidence from the United States and China

Broadstock, David C.; Filis, George - In: Journal of international financial markets, … 33 (2014), pp. 417-433

Persistent link: https://www.econbiz.de/10011299813

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 … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 … mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the US and China's two markets; thus …

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

Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: evidence from VAR-MGARCH estimations

Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - 2022

Persistent link: https://www.econbiz.de/10013163659

Return and volatility spillovers between Chinese and U.S. clean energy related stocks

Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - In: Energy economics 108 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013203260