Analysis on Spillover Effect of Share Price and Volatility

• 발행기관: 한국유통과학회
• 저자명: Zhai Shuai
• 간행물 정보: 『한국유통과학회 학술대회 논문집』2014년 동계 국제학술대회, 125~129쪽, 전체 5쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2014.12.17

영문 초록

With TGARCH model, this paper empirically examines the spillover effect of price and volatility among the two markets using sample of 18 dually-listed stocks' daily data from mainland and Hong Kong Stock Exchanges. We get the conclusion as follows: Return of half dually-listed A shares are in line with the Hong Kong market and the opposite influences are different due to different stocks; spillover effect exists among the two markets, the volatility of Hong Kong market is influenced by the mainland market more obviously than Hong Kong market to mainland market; information asymmetry is obvious among the two markets; good information has a leverage effect, and good information of A share market hasa more notable effect to Hong Kong market in volatility effect than Hong Kong to A share market.

목차

Abstract

1. Introduction

2. Data and Methodology

3. Empirical Results

4. Summary and Conclusions

Reference

키워드

Information Transmission Dually-listed Stock Price