Stock market linkage and impact of the sub-prime mortgage crisis: evidence from Mainland China and Hong Kong

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Stock market linkage and impact of the sub-prime mortgage crisis: evidence from Mainland China and Hong Kong

This study investigates the linkage between Mainland China and Hong Kong stock markets pre and post 2007 U.S. sub-prime mortgage crisis. We employ Dynamic Conditional Correlation GARCH (generalised autoregressive conditional heteroscedasticity) model to identify the association of weekly market retu...

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Bibliographic Details
Main Authors:	Wang, Zhao, Mohamed, Azali, Karbhari, Yusuf, Lau, Wei Theng
Format:	Article
Language:	English
Published:	Faculty of Economics and Management, Universiti Putra Malaysia 2018
Online Access:	http://psasir.upm.edu.my/id/eprint/22588/ http://psasir.upm.edu.my/id/eprint/22588/1/23%29%20Stock%20Market%20Linkage.pdf

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