Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India
<p>Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price...
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| Format: | Article |
| Language: | English |
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University Library System, University of Pittsburgh
2014-08-01
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| Series: | Emerging Markets Journal |
| Online Access: | http://emaj.pitt.edu/ojs/index.php/emaj/article/view/58 |
| _version_ | 1818253329036214272 |
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| author | Menggen Chen |
| author_facet | Menggen Chen |
| author_sort | Menggen Chen |
| collection | DOAJ |
| description | <p>Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.</p> |
| first_indexed | 2024-12-12T16:38:20Z |
| format | Article |
| id | doaj.art-04a2f4e1e81444c79a657bda2a147477 |
| institution | Directory Open Access Journal |
| issn | 2159-242X 2158-8708 |
| language | English |
| last_indexed | 2024-12-12T16:38:20Z |
| publishDate | 2014-08-01 |
| publisher | University Library System, University of Pittsburgh |
| record_format | Article |
| series | Emerging Markets Journal |
| spelling | doaj.art-04a2f4e1e81444c79a657bda2a1474772022-12-22T00:18:36ZengUniversity Library System, University of PittsburghEmerging Markets Journal2159-242X2158-87082014-08-0141334210.5195/emaj.2014.5848Study on the Shock-transmission Mechanism of Stock Price among China, Russia and IndiaMenggen Chen0Prof.<p>Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.</p>http://emaj.pitt.edu/ojs/index.php/emaj/article/view/58 |
| spellingShingle | Menggen Chen Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India Emerging Markets Journal |
| title | Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India |
| title_full | Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India |
| title_fullStr | Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India |
| title_full_unstemmed | Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India |
| title_short | Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India |
| title_sort | study on the shock transmission mechanism of stock price among china russia and india |
| url | http://emaj.pitt.edu/ojs/index.php/emaj/article/view/58 |
| work_keys_str_mv | AT menggenchen studyontheshocktransmissionmechanismofstockpriceamongchinarussiaandindia |