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...
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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 |
| _version_ | 1848747548892725248 |
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| author | Chan, Felix Da Veiga, Bernardo Mcaleer, M. |
| author2 | Andre Zerger |
| author_facet | Andre Zerger Chan, Felix Da Veiga, Bernardo Mcaleer, M. |
| author_sort | Chan, Felix |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | © 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. |
| first_indexed | 2025-11-14T06:50:54Z |
| format | Conference Paper |
| id | curtin-20.500.11937-10494 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:50:54Z |
| publishDate | 2005 |
| publisher | Modelling and Simulation Society of Australia and New Zealand |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-104942022-10-20T04:27:31Z 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. Andre Zerger Robert M. Argent conditional correlations China A and B shares multivariate conditional volatility © 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. 2005 Conference Paper http://hdl.handle.net/20.500.11937/10494 http://www.mssanz.org.au/modsim05/ Modelling and Simulation Society of Australia and New Zealand restricted |
| spellingShingle | conditional correlations China A and B shares multivariate conditional volatility Chan, Felix Da Veiga, Bernardo Mcaleer, M. The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares |
| title | The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares |
| title_full | The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares |
| title_fullStr | The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares |
| title_full_unstemmed | The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares |
| title_short | The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares |
| title_sort | effect of b share market reform on volatility spillovers and changes in correlation between chinese a and b shares |
| topic | conditional correlations China A and B shares multivariate conditional volatility |
| url | http://www.mssanz.org.au/modsim05/ http://hdl.handle.net/20.500.11937/10494 |