The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares
© 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...
| Main Authors: | , , |
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| Format: | Conference Paper |
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Modelling and Simulation Society of Australia and New Zealand
2005
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| Online Access: | http://www.mssanz.org.au/modsim05/ http://hdl.handle.net/20.500.11937/10494 |
| Summary: | © 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. |
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