Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns
Chien-Ping Chung, Tzu-Hsiang Liao, Hsiu-Chuan Lee
| Year of publication: |
2021
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|---|---|
| Authors: | Chung, Chien-Ping ; Liao, Tzu-Hsiang ; Lee, Hsiu-chuan |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 65.2021, p. 1-20
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| Subject: | A-shares | B-shares | Chinese stock index returns | Net volatility spillovers | Total volatility spillover index | Uncertainty shocks | Volatilität | Volatility | China | Spillover-Effekt | Spillover effect | Aktienindex | Stock index | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2020.101466 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013209559