The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares
| dc.contributor.author | Chan, Felix | |
| dc.contributor.author | Da Veiga, Bernardo | |
| dc.contributor.author | Mcaleer, M. | |
| dc.contributor.editor | Andre Zerger | |
| dc.contributor.editor | Robert M. Argent | |
| dc.date.accessioned | 2017-01-30T11:19:11Z | |
| dc.date.available | 2017-01-30T11:19:11Z | |
| dc.date.created | 2015-09-29T01:51:42Z | |
| dc.date.issued | 2005 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/10494 | |
| dc.description.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. | |
| dc.publisher | Modelling and Simulation Society of Australia and New Zealand | |
| dc.relation.uri | http://www.mssanz.org.au/modsim05/ | |
| dc.subject | conditional correlations | |
| dc.subject | China A and B shares | |
| dc.subject | multivariate conditional volatility | |
| dc.title | The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares | |
| dc.type | Conference Paper | |
| dcterms.source.startPage | 2210 | |
| dcterms.source.endPage | 2217 | |
| dcterms.source.isbn | 0975840029 | |
| dcterms.source.conference | 2005 International Congress on Modelling and Simulation (MODSIM) | |
| dcterms.source.conference-start-date | Dec 12 2005 | |
| dcterms.source.conferencelocation | Melbourne, Australia | |
| dcterms.source.place | Melbourne, Australia | |
| curtin.department | School of Economics, Finance and Property | |
| curtin.accessStatus | Fulltext not available | |
| curtin.faculty | Faculty of Business and Law | |
| curtin.contributor.orcid | Chan, Felix [0000-0003-3045-7178] | |
| curtin.contributor.scopusauthorid | Chan, Felix [7202586446] |