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2010 2nd IEEE International Conference on Advanced Management Science（IEEE ICAMS 2010）

作者： Yu Lin Business School Chengdu University of Technology Chengdu P.R.China 610059Yanxiang Chen College of Information Management Chengdu University of Technology Chengdu China 610059

This paper uses multivariate garch model to model covariance matrix of Shanghai stock integration index,Hangsheng index of Hong Kong stock market and Nikkei 225 index of Tokyo stock market,and analyze time-varying conditional correlations of returns and volatilities of these three index *** results show that conditional returns of them are of time varying conditional correlations and their covariance matrices are also varying with the time.

关键词： multivariate garch model Return of integration index Time Varying Conditional Correlations Volatility.

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Half-day trading and spillovers

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Frontiers of Business Research in China 2021年第1期15卷 42-63页

作者： Yifan Chen Limin Yu Jianhua Gang School of Economics and Management Tsinghua UniversityBeijing 100084China National School of Development Peking UniversityBeijing 100871China School of Finance Renmin University of ChinaBeijing 100872China China Financial Policy Research Center School of FinanceRenmin University of ChinaBeijing 100872China

This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March *** use the dynamic conditional correlation(DCC)and asymmetric Baba–Engle–Kraft–Kroner(BEKK)garch models to calculate the time-varying correlations of these two markets and examine the return and volatility spillover effects between these two *** empirical results show that there are only unidirectional return spillovers from the *** market to the Chinese stock *** *** market has a consistently positive spillover to China’s next day’s morning trading,but its impact on China’s next day’s afternoon trading appears to be *** finding implies that information in the *** market impacts the performance of the Chinese stock market differently in distinct semi-day ***,with respect to the volatility,there are significant bidirectional spillover effects between these two markets.

关键词： Spillover effects Semi-day transaction Volatility multivariate garch model Stock market

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