Normal and abnormal information transmissions: evidence from China's stock markets

doi:10.1080/13504850500425444

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/18382

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/18382

题名:	Normal and abnormal information transmissions: evidence from China's stock markets
作者:	Chiu, Chien-liang;Hung, Jui-cheng
贡献者:	淡江大學財務金融學系
关键词:	empirical analysis;investment;spillover effect;stock market;Asia;China;Eurasia;Far East;Guangdong;Shanghai;Shenzhen
日期:	2007-10
上传时间:	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
显示于类别:	[財務金融學系暨研究所] 期刊論文

文件中的档案:

档案	大小	格式	浏览次数
index.html	0Kb	HTML	246	检视/开启
index.html	0Kb	HTML	83	检视/开启
Normal and abnormal information transmissions evidence from China's stock markets.pdf	240Kb	Adobe PDF	2	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章

数据加载中.....