Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
The aim of this paper is to investigate the effect of the Chinese B share market reform on the conditional 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 (S...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier Science
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/6249 |