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

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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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Bibliographic Details
Main Authors:	Chan, Felix, Da Veiga, Bernardo, Mcaleer, M.
Other Authors:	Andre Zerger
Format:	Conference Paper
Published:	Modelling and Simulation Society of Australia and New Zealand 2005
Subjects:	conditional correlations China A and B shares multivariate conditional volatility
Online Access:	http://www.mssanz.org.au/modsim05/ http://hdl.handle.net/20.500.11937/10494

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