Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan
DOWNLOAD
Download Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan
DOWNLOAD
Author : Ping Wang
language : en
Publisher:
Release Date : 2014
Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan written by Ping Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
Price And Volatility Spillovers Between Greater China And Japan And Us Markets
DOWNLOAD
Author : Ping Wang
language : en
Publisher:
Release Date : 2008
Price And Volatility Spillovers Between Greater China And Japan And Us Markets written by Ping Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The conjecture that developed markets dominate emerging markets in stock market interactions is questioned - such asymmetric dominance of developed markets over developing markets does not show up in the present study where the developing market of China is of a comparable size in relation to the developed markets of Japan and the US. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
Price And Volatility Spillovers Across North American European And Asian Stock Markets
DOWNLOAD
Author : Priyanka Singh
language : en
Publisher:
Release Date : 2010
Price And Volatility Spillovers Across North American European And Asian Stock Markets written by Priyanka Singh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. These markets are that of Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others' conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return.
Mathematical Finance With Applications
DOWNLOAD
Author : Wing-Keung Wong
language : en
Publisher: MDPI
Release Date : 2020-12-07
Mathematical Finance With Applications written by Wing-Keung Wong and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-07 with Business & Economics categories.
Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Spillovers Of The U S Subprime Financial Turmoil To Mainland China And Hong Kong Sar Evidence From Stock Markets
DOWNLOAD
Author : Tao Sun
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2009-08-01
Spillovers Of The U S Subprime Financial Turmoil To Mainland China And Hong Kong Sar Evidence From Stock Markets written by Tao Sun and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-01 with categories.
This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK.
Volatility Characteristics And Spillover Effects Among Greater China Stock Markets
DOWNLOAD
Author : Bin Hu
language : en
Publisher:
Release Date : 2008
Volatility Characteristics And Spillover Effects Among Greater China Stock Markets written by Bin Hu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Stock exchanges categories.
Multivariate Garch Models For The Greater China Stock Markets
DOWNLOAD
Author : Xiaojun Song
language : en
Publisher:
Release Date : 2009
Multivariate Garch Models For The Greater China Stock Markets written by Xiaojun Song and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with China categories.
"This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one exogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during the sampling period, varying from 0.75 to 0.98, at some point even near linear correlation, which is not uncommon due to the close interlink between the two markets. Hongkong and Singapore presents a mildly high correlation, varying from 0.25 to 0.9, with an average of 0.62. However, the correlation is very volatile. Results present the convincing evidence that Chinese stock markets are more and more integrated to the global markets and the Greater China region markets are more integrated to each other. There are many obvious correlation breaks, when all the correlations suddenly drop to a drastically low level. The drop corresponds to the actual economic event as we discover."--Author's abstract.
China S Growing Influence On Asian Financial Markets
DOWNLOAD
Author : Mr.Serkan Arslanalp
language : en
Publisher: International Monetary Fund
Release Date : 2016-08-20
China S Growing Influence On Asian Financial Markets written by Mr.Serkan Arslanalp and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-08-20 with Business & Economics categories.
This paper finds that financial spillovers from China to regional markets are on the rise. The main transmission channel appears to be trade linkages, although direct financial linkages are playing an increasing role. Without an impact on global risk premiums, China’s influence on regional markets is not yet to the level of the United States, but comparable to that of Japan. If China-related shocks are coupled with a rise in global risk premiums, as in August 2015 and January 2016, spillovers to the region could be significantly larger. Over the medium term, China’s financial spillovers could rise further with tighter financial linkages with the region, including through the ongoing internationalization of the renminbi and China’s capital account liberalization.
Multivariate Garch Models For The Greater China Stock Markets
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2001
Multivariate Garch Models For The Greater China Stock Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai, Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during the sampling period, varying from 0.75 to 0.98, at some point even near linear correlation, which is not uncommon due to the close interlink between the two markets. Hongkong and Singapore presents a mildly high correlation, varying from 0.25 to 0.9, with an average of 0.62. However, the correlation is very volatile. Results present the convincing evidence that Chinese stock markets are more and more integrated to the global markets and the Greater China region markets are more integrated to each other. There are many obvious correlation breaks, when all the correlations suddenly drop to a drastically low level. The drop corresponds to the actual economic event as we discover.
Spillover Effects Among The Greater China Stock Markets
DOWNLOAD
Author : Anders C. Johansson
language : en
Publisher:
Release Date : 2009
Spillover Effects Among The Greater China Stock Markets written by Anders C. Johansson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
This paper explores the linkages among the different stock markets in the Greater China region (China, Hong Kong, and Taiwan). The empirical findings show no indications of long-run relationships among the markets. There are, however, short-run spillover effects in both returns and volatility in the region. Both China and Hong Kong are affected by mean spillover effects from Taiwan. Volatility in the Hong Kong market spills over into Taiwan, which in turn affects the volatility in the Mainland China market. This means that the Mainland China market is related to other markets, even though the possibilities for outside investments have been limited until recently. Overall, the study shows significant interdependencies among the three markets, a result that has important implications for both policymakers and investors in the region.