The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares

Chan, Felix; Da Veiga, Bernardo; Mcaleer, M.

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Authors

Chan, Felix

Da Veiga, Bernardo

Mcaleer, M.

Date

2005

Type

Conference Paper

Metadata

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Citation

Chan, F. and Da Veiga, B. and Mcaleer, M. 2005. The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares, in Andre Zerger and Robert M. Argent (ed), 2005 International Congress on Modelling and Simulation (MODSIM), Dec 12 2005, pp. 2210-2217. Melbourne, Australia: Modelling and Simulation Society of Australia and New Zealand.

Source Conference

2005 International Congress on Modelling and Simulation (MODSIM)

Additional URLs

http://www.mssanz.org.au/modsim05/

ISBN

0975840029

Faculty

Faculty of Business and Law

School

School of Economics, Finance and Property

URI

http://hdl.handle.net/20.500.11937/10494

Collection

Curtin Research Publications

Abstract

© MODSIM 2005 - International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, Proceedings. All rights reserved. The aim of this paper is to investigate the effect of the Chinese B share market reform on the correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share index (SHB), Shenzen A share index (SZA) and Shenzen B share index (SZB) are used for the period 6 October 1992 to 8 February 2005. The results suggest that the all pairs of correlations increase dramatically over the period analysed, but such increase begins well before the reforms to the B Share market.