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    題名: Normal and abnormal information transmissions: evidence from China's stock markets
    作者: Chiu, Chien-liang;Hung, Jui-cheng
    貢獻者: 淡江大學財務金融學系
    關鍵詞: empirical analysis;investment;spillover effect;stock market;Asia;China;Eurasia;Far East;Guangdong;Shanghai;Shenzhen
    日期: 2007-10
    上傳時間: 2013-03-12 10:57:12 (UTC+8)
    出版者: Oxon: Routledge
    摘要: This article investigates normal and abnormal information transmissions by examining diffusion volatility and jump intensity spillovers in China's stock markets. We analyse the impact of releasing investing restriction to information transmission mechanism, and also the interactions between ‘A’ and ‘B’ share markets of Shanghai and Shenzhen exchanges during the pre- and post-event periods. A CBP-GARCH model is employed in our empirical analysis. The empirical results exhibit the evidence of bidirectional normal information transmissions between ‘A’ and ‘B’ share markets of both exchanges. However, abnormal information transmissions are unidirectional, flowing from ‘B’ share market to ‘A’ share market only. Our results are consistent with the information transfer hypothesis (Chiu and Kwok, 1998). Moreover, information transmissions mechanism is affected by the removal of investing restriction, thus the two markets are more integrated gradually.
    關聯: Applied Economics Letters 14(12), pp.863-870
    DOI: 10.1080/13504850500425444
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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