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 |
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Elsevier Science
2008
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| Online Access: | http://hdl.handle.net/20.500.11937/6249 |
| _version_ | 1848745021709221888 |
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| author | Da Veiga, Bernardo Chan, Felix Mcaleer, M. |
| author_facet | Da Veiga, Bernardo Chan, Felix Mcaleer, M. |
| author_sort | Da Veiga, Bernardo |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 (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 impact of the reform on the volatility spillovers and volatility transmission were found to be significant. The results also suggest that all pairs of conditional correlations increase dramatically over the period analysed, but such increases began well before the reforms to the B share market. The importance of accommodating such an increase in conditional correlations and changes in the information transmission mechanism when estimating value-at-risk (VaR) thresholds is analysed. The results suggest that accommodating the B share market reform may not be particularly important in empirical analyses of volatility transmission. |
| first_indexed | 2025-11-14T06:10:44Z |
| format | Journal Article |
| id | curtin-20.500.11937-6249 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:10:44Z |
| publishDate | 2008 |
| publisher | Elsevier Science |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-62492017-09-13T14:42:52Z Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk Da Veiga, Bernardo Chan, Felix Mcaleer, M. Multivariate conditional volatility Conditional correlations Basel accord penalties Value-at-risk thresholds China A and B shares 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 (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 impact of the reform on the volatility spillovers and volatility transmission were found to be significant. The results also suggest that all pairs of conditional correlations increase dramatically over the period analysed, but such increases began well before the reforms to the B share market. The importance of accommodating such an increase in conditional correlations and changes in the information transmission mechanism when estimating value-at-risk (VaR) thresholds is analysed. The results suggest that accommodating the B share market reform may not be particularly important in empirical analyses of volatility transmission. 2008 Journal Article http://hdl.handle.net/20.500.11937/6249 10.1016/j.matcom.2008.01.031 Elsevier Science restricted |
| spellingShingle | Multivariate conditional volatility Conditional correlations Basel accord penalties Value-at-risk thresholds China A and B shares Da Veiga, Bernardo Chan, Felix Mcaleer, M. Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
| title | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
| title_full | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
| title_fullStr | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
| title_full_unstemmed | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
| title_short | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
| title_sort | modelling the volatility transmission and conditional correlations between a and b shares in forecasting value-at-risk |
| topic | Multivariate conditional volatility Conditional correlations Basel accord penalties Value-at-risk thresholds China A and B shares |
| url | http://hdl.handle.net/20.500.11937/6249 |