Abstract
Our study examined the volatility spillover effects in “China Concept” shares. Both a variance decomposition analysis and a DCC-MVGARCH model show that “China Concept” shares returns are driven more by US market returns than Chinese stock market. Although it do not exist volatility spillovers effects among the Chinese stock market and “China Concept” shares, time-varying correlation coefficient between them shows that they are more closely linked in recent years.
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© 2011 Springer-Verlag Berlin Heidelberg
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Wu, D., Xie, C., Hu, X. (2011). Empirical Study on the Volatility Spillover Effect in “China Concept” Shares. In: Zhang, J. (eds) Applied Informatics and Communication. ICAIC 2011. Communications in Computer and Information Science, vol 227. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-23226-8_9
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DOI: https://doi.org/10.1007/978-3-642-23226-8_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-23225-1
Online ISBN: 978-3-642-23226-8
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