Cheng, Hwahsin; Glascock, John - In: Review of Quantitative Finance and Accounting 24 (2005) 4, pp. 343-357
This research examines the linkages among three Greater China Economic Area (GCEA) stock markets, including Mainland China, Hong Kong, and Taiwan, and two developed markets, Japan and the United States. We find that: (1) a random walk model is outpredicted by an autoregressive GARCH model and an...
