Dynamic Linkages among Financial Markets in the Greater China Region : A Multivariate Asymmetric Approach
Dynamic Linkages among Financial Markets in the Greater China Region : A Multivariate Asymmetric Approach
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大中华地区金融市场之间的动态联系：多元非对称方法
DOI：
10.1111/j.1467-9701.2012.01448.x
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Kin-Yip and Zhaoyong Zhang
中科院分区：
文献类型：
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作者：
Ho;Kin-Yip and Zhaoyong Zhang
本研究采用一个包含非对称性、持续性和时变相关性特征的多变量框架来考察大中华地区股票市场的波动动态。具有这些特征的多变量框架将有助于更好地理解大中华地区股票市场之间的相互依存和一体化。我们的研究结果证实了波动持续性和不对称性的存在，并且有一些证据表明市场之间存在共同的持续性（“共同持续性”）。研究还发现，中国大陆市场在20世纪90年代末和21世纪初的波动性实际上低于台湾和香港证券交易所。深圳和上海证券交易所彼此之间正相关（不完全），但它们与香港和台湾市场的相关性较弱。这些发现对对冲和投资组合管理具有重要意义。
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 common degree of persistence (‘co‐persistence’) among the markets. It is also found that the Mainland Chinese markets are actually less volatile than the Taiwan and Hong Kong stock exchanges in the late 1990s and early 2000s. The Shenzhen and Shanghai stock exchanges are positively (not perfectly) correlated with each other, but they show a weaker correlation with the Hong Kong and Taiwan markets. These findings have important implications for hedging and portfolio management.