淡江大學機構典藏:Item 987654321/18382
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62805/95882 (66%)
Visitors : 3942305      Online Users : 1062
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/18382


    Title: Normal and abnormal information transmissions: evidence from China's stock markets
    Authors: Chiu, Chien-liang;Hung, Jui-cheng
    Contributors: 淡江大學財務金融學系
    Keywords: empirical analysis;investment;spillover effect;stock market;Asia;China;Eurasia;Far East;Guangdong;Shanghai;Shenzhen
    Date: 2007-10
    Issue Date: 2013-03-12 10:57:12 (UTC+8)
    Publisher: Oxon: Routledge
    Abstract: 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.
    Relation: Applied Economics Letters 14(12), pp.863-870
    DOI: 10.1080/13504850500425444
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML246View/Open
    index.html0KbHTML84View/Open
    Normal and abnormal information transmissions evidence from China's stock markets.pdf240KbAdobe PDF2View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback