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Ginny ju-ann Yang, Koyin Chang, Yung-Hsiang Ying and Chen-hsun Lee
''Spillover Effects of Chinese Stock Markets''
( 2014, Vol. 34 No.1 )
This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets. Our results show that cross-sectional interdependence is apparent in Chinese stock markets; however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.
Keywords: cross-sectional independence test, Lagrange multiplier, non-causality in the variance
F3 - International Finance: General
Manuscript Received : Jul 05 2013 Manuscript Accepted : Feb 04 2014

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