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    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/18359

    題名: Removal of an investment restriction: the "B" share experience from China's stock markets
    作者: Chiu, Chien-liang;Lee, Ming-chih;Chen, Chun-da
    貢獻者: 淡江大學財務金融學系
    日期: 2005-02-01
    上傳時間: 2009-08-26 15:36:49 (UTC+8)
    出版者: Taylor & Francis
    摘要: This paper investigates the impact of CSRC allowing domestic residents to invest in the B-share stock market. An ARJI model is used to analyse the jump dynamics process during the pre- and post-event periods and impulse response functions are employed to demonstrate the volatility transmissions between the A- and B-share markets. Results indicate that the jump intensity and the jump frequency of Shanghai and Shenzhen stock markets increases. Moreover, the volatility transmissions between A- and B-share markets accelerates. It is therefore concluded that the CSRC, by permitting domestic residents to invest in B shares, will impact the A- and B-share stock markets.
    關聯: Applied Financial Economics 15(4), pp.273-285
    DOI: 10.1080/0960310042000314232
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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