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dc.contributor.authorChan, Felix
dc.contributor.authorDa Veiga, Bernardo
dc.contributor.authorMcaleer, M.
dc.contributor.editorAndre Zerger
dc.contributor.editorRobert M. Argent
dc.date.accessioned2017-01-30T11:19:11Z
dc.date.available2017-01-30T11:19:11Z
dc.date.created2015-09-29T01:51:42Z
dc.date.issued2005
dc.identifier.citationChan, 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.urihttp://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.publisherModelling and Simulation Society of Australia and New Zealand
dc.relation.urihttp://www.mssanz.org.au/modsim05/
dc.subjectconditional correlations
dc.subjectChina A and B shares
dc.subjectmultivariate conditional volatility
dc.titleThe Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares
dc.typeConference Paper
dcterms.source.startPage2210
dcterms.source.endPage2217
dcterms.source.isbn0975840029
dcterms.source.conference2005 International Congress on Modelling and Simulation (MODSIM)
dcterms.source.conference-start-dateDec 12 2005
dcterms.source.conferencelocationMelbourne, Australia
dcterms.source.placeMelbourne, Australia
curtin.departmentSchool of Economics, Finance and Property
curtin.accessStatusFulltext not available
curtin.facultyFaculty of Business and Law
curtin.contributor.orcidChan, Felix [0000-0003-3045-7178]
curtin.contributor.scopusauthoridChan, Felix [7202586446]


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