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Dynamic Linkages Among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach

Ho, Kin-Yip; Zhang, Zhaoyong

Description

This study examines the volatility dynamics of the Greater China stock markets by employing a multivariate framework that incorporates the features of asymmetries, persistence and time-varying correlations. The multivariate framework with these features will contribute to a better understanding of the interdependence and integration among the stock markets in the Greater China region. Our results confirm the existence of volatility persistence and asymmetries, and there is some evidence of a...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/31366
Source: The World Economy
DOI: 10.1111/j.1467-9701.2012.01448.x

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