Back to Search
Start Over
Research on the risk spillovers between Shanghai, Shenzhen and Hong Kong stock markets -- Based on the time varying ΔCoVaR model.
- Source :
-
Xitong Gongcheng Lilun yu Shijian (Systems Engineering Theory & Practice) . 2020, Vol. 40 Issue 6, p1533-1544. 12p. - Publication Year :
- 2020
-
Abstract
- This paper uses the ΔCoVaR approach to estimate the tail risk spillover effects between Shanghai/Shenzhen and Hong Kong stock markets from November 2006 to December 2018. The results show that: 1) There exist the significantly positive spillover effects between Shanghai/Shenzhen and Hong Kong stock markets in both directions; 2) The spillover effects from Hong Kong to Shanghai/Shenzhen stock market are stronger than those from Shanghai/Shenzhen to Hong Kong stock market; 3) There exist more fluctuations in the spillover effects between Shenzhen and Hong Kong stock markets than those in the spillover effects between Shanghai and Hong Kong stock markets; 4) After the launch of the lShanghai-Hong Kong Stock Connect' and 'Shenzhen-Hong Kong Stock Connect', the spillover effects between Hong Kong and Shanghai/Shenzhen stock markets do not appear to change significantly. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCK exchanges
*INVESTMENT risk
*QUANTILE regression
Subjects
Details
- Language :
- Chinese
- ISSN :
- 10006788
- Volume :
- 40
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Xitong Gongcheng Lilun yu Shijian (Systems Engineering Theory & Practice)
- Publication Type :
- Academic Journal
- Accession number :
- 145095740
- Full Text :
- https://doi.org/10.12011/1000-6788-2020-0438-12