Intraday Volatility Spillover between the Shanghai and Hong Kong Stock Markets—Evidence from A+H Shares after the Launch of the Shanghai-Hong Kong Stock Connect
Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect (SHHKSC), we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressive conditional heteroskedasticity-X (GARCH-X) model with four exogenous variables,...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2017-12-01
|
| Series: | Journal of Management Science and Engineering |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232019300381 |