This study adopts a bivariate EGARCH model, augmented with dynamic conditional correlation equation, to examine the bilateral relationships between the Shanghai A- and B-share stock markets in China using daily market data. Results show no cointegration between A- and B-share stock markets with the structural break effect. A- and B-share markets exhibit negative asymmetry. A mean spillover from the B- to A-share markets and volatility spillover from the A- to B-share markets appear in the post-opening period. Moreover, the opening of the B-share market to trade has strengthened the US stock market’s spillover effects on the B-share stock market. Significant changes in correlations may be due to market information arrival, and especially for the post-opening period. A change in correlations may have investment implications on asset allocation, and this study presents possible economic applications based on EGARCH model.
Key Words: EGARCH model; Structural break; Mean Spillover; Opening of B-share
JEL: G11, G14, G18
학회소식
[2012년 제 4차] Price Spillover and Dynamic Correlation in the Shan
작성자 : 관리자
조회수 : 748
게시일 :
2012-12-12
