Mean, Volatility Spillover and Time-varying Conditional Dependence in Chinese Stock Markets PDF Download
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Author: Yi Zheng
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 18
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Book Description
Author: Yi Zheng
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 18
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Book Description
Author: Xiaojun Song
Publisher:
ISBN:
Category : China
Languages : en
Pages : 128
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Book Description
"This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one exogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during the sampling period, varying from 0.75 to 0.98, at some point even near linear correlation, which is not uncommon due to the close interlink between the two markets. Hongkong and Singapore presents a mildly high correlation, varying from 0.25 to 0.9, with an average of 0.62. However, the correlation is very volatile. Results present the convincing evidence that Chinese stock markets are more and more integrated to the global markets and the Greater China region markets are more integrated to each other. There are many obvious correlation breaks, when all the correlations suddenly drop to a drastically low level. The drop corresponds to the actual economic event as we discover."--Author's abstract.
Author: Wei Chi
Publisher:
ISBN:
Category :
Languages : en
Pages : 392
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Book Description
This thesis analyses three sets of issues: 1) the cyclical behaviour of the Chinese stock markets, 2) the fitness of using realized volatility (RV) in the generalized autoregressive conditional heteroskedasticity (GARCH) model, and 3) the volatility spillover between the Chinese and Australian stock markets. After conducting an extensive literature review, the thesis examines the three sets of issues separately.First, a Markov regime switching model is applied to analyse the bull and bear cycles in the Chinese stock market, since the cycles of bull and bear markets can reflect economic development and investor confidence. Specifically, grouping stocks by industry and firm size, the results show the following: 1) Bear cycles between stocks and the index overlap heavily, indicating strong herding effects. A long bear market cycle is found and can be explained by widely diversified stock performance across the markets. 2) Certain shocks to one industry could have different impacts on the Shanghai and Shenzhen stock markets. 3) Firm size can have a significant impact on the performance of stocks in bull or bear cycles.The second topic focuses on estimating the RV of the Chinese stock markets and comparing it with the GARCH model. The actual volatility is inherently unobserved, while the RV could be treated as being directly observable and then be used to study time-varying behaviour and forecasting. Thus, a large number of studies use RV in GARCH models for volatility analysis. However, there is yet no study that discusses the correlation between RV and GARCH while using RV in GARCH models. This could lead to bias in estimation because of the different properties of RV and GARCH. The results show that GARCH models combined with RV could be more suitable for estimating volatility for large firms. When the firms are grouped in terms of positive/negative returns, similar results are found as when firms are grouped by firm size.The third topic estimates the volatility spillover between the Chinese and Australian stock markets, motivated by the lack of attention to spillover between these two markets in the literature. While economic interdependence between Australia and China has soared during the last two decades due to China's tight reliance on Australia's mining and resources, little research attention has been paid to these two countries. This study fills the literature gap and assesses the volatility spillover between the Chinese and Australian stock markets based on the CSI300 and ASX200 industry indices. To the best of my knowledge, this is the first study using Chinese industry data to discuss volatility spillover. The key findings of the thesis are that volatility spillover across these two markets is bidirectional, while there is one-sided or insignificant spillover across industries between these two countries. The findings of the thesis fill the literature gap, help clarify the debate about volatility spillover between the Chinese stock market and the world market, and provide a clearer idea of the channels through which volatility is transmitted across countries.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai, Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during the sampling period, varying from 0.75 to 0.98, at some point even near linear correlation, which is not uncommon due to the close interlink between the two markets. Hongkong and Singapore presents a mildly high correlation, varying from 0.25 to 0.9, with an average of 0.62. However, the correlation is very volatile. Results present the convincing evidence that Chinese stock markets are more and more integrated to the global markets and the Greater China region markets are more integrated to each other. There are many obvious correlation breaks, when all the correlations suddenly drop to a drastically low level. The drop corresponds to the actual economic event as we discover.
Author: Suk-Joong Kim
Publisher: Elsevier
ISBN: 0762314710
Category : Business & Economics
Languages : en
Pages : 537
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Book Description
This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.
Author: Stephen J. Taylor
Publisher: World Scientific
ISBN: 9812770852
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Author: Ms.Camelia Minoiu
Publisher: International Monetary Fund
ISBN: 1475554257
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.
Author: Luc Bauwens
Publisher: John Wiley & Sons
ISBN: 1118272056
Category : Business & Economics
Languages : en
Pages : 566
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Book Description
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author: Linwood A. Hoffman
Publisher: DIANE Publishing
ISBN: 1437981062
Category : Reference
Languages : en
Pages : 37
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Book Description
Growth in corn dry-mill ethanol production has surged in the past several years, simultaneously creating a co-product distillers' grains (DDGS). Many in the U.S. feed industry were concerned about the size of this new feed source and whether it could be used entirely by the feed industry, but they also worried about the price discovery process for the product. Provides a transparent methodology to estimate U.S. supply and consumption of DDGS. Potential domestic and export use of U.S. DDGS exceeds current production and is likely to exceed future production as ethanol production continues to grow. Identifies the DDGS price discovery process along with the price relationships of distillers' grains, corn, and soybean meal. Illus. A print on demand report.
Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
