Return transmission among stock markets of Greater China

W.S. Chan, Harry W.C. Lo and S.H. Cheung

Mathematics and Computers in Simulation (MATCOM), 1999, vol. 48, issue 4, 511-518

Abstract: In this article we study the return transmission among stock markets in Greater China – Mainland China (Shanghai, Shenzhen), Hong Kong and Taiwan – a region which has been enjoying tremendous growth and expansion in the economies and capital markets in the last decade. Using a multiple time series approach we identify explicitly the lead–lag interaction among these markets. The estimation results show that significant multivariate structures are present. These structures can reduce the residual standard error and improve the fit over the univariate models.

Keywords: Return transmission; Random walk; Multivariate time series model (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475499000312
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:48:y:1999:i:4:p:511-518

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().