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,...
| Hlavní autoři: | , , , |
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| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
KeAi Communications Co., Ltd.
2017-12-01
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| Edice: | Journal of Management Science and Engineering |
| On-line přístup: | http://www.sciencedirect.com/science/article/pii/S2096232019300381 |