標題: A study of US and China's volatility spillover effects on Hong Kong and Taiwan
作者: Sheu, Her-Jiun
Cheng, Chien-Ling
經營管理研究所
Institute of Business and Management
關鍵字: Stock market;volatility;spillover;VAR;MGARCH
公開日期: 4-Jul-2011
摘要: Many international investors have taken interest in the Hong Kong, Taiwan, and China stock markets for diversification to explore higher returns owing to their rapid economic growth and increased link with international capital markets over the past decades. As correlation is primary component for asset risk managing, asset pricing and portfolio allocating, which are concerns for investors, it is crucial to clarify the co-movement of these stock markets. The aim of this paper was to compare the effect of volatility of China and U.S. stock market respectively on the Taiwan and Hong Kong. Both vector autoregressive (VAR) and multivariate generalized autoregressive conditional heteroskedastic (MGARCH) model were employed for two separated sub-periods: 1996-2005 and 2006-2009. Results indicated that while China's rapid economic growth and its integration with Taiwan and Hong Kong, its stock market was considerably independent and its co-moments with other (international) markets were still not significant. It's useful information for investors that China stock market, with low co-moments with others, would be a good risk diversified investment and that U.S. stock market, with high co-moments with others, would be a good pricing indicator.
URI: http://hdl.handle.net/11536/14848
ISSN: 1993-8233
期刊: AFRICAN JOURNAL OF BUSINESS MANAGEMENT
Volume: 5
Issue: 13
起始頁: 5232
結束頁: 5240
Appears in Collections:Articles