Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China

Albert Tsui and Qiao Yu

Mathematics and Computers in Simulation (MATCOM), 1999, vol. 48, issue 4, 503-509

Abstract: In this paper we examine the behaviour of stock returns in two emerging markets of China. These are the Shanghai and Shenzhen markets. It is found that both markets suffer from negative mean returns on Monday and Tuesday, but positive returns on Friday. In addition, we employ the bivariate GARCH model of Bollerslev [T. Bollerslev, Review of Economics and Statistics 72 (1990) 498–505] to capture the co-movements of stock returns between the markets. However, the information matrix test statistic does not support the null hypothesis of a constant conditional correlation in the stock returns.

Keywords: GARCH model; Stock returns; Shanghai and Shenzhen markets (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:48:y:1999:i:4:p:503-509

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