Stock market linkage and impact of the sub-prime mortgage crisis: evidence from Mainland China and Hong Kong
This study investigates the linkage between Mainland China and Hong Kong stock markets pre and post 2007 U.S. sub-prime mortgage crisis. We employ Dynamic Conditional Correlation GARCH (generalised autoregressive conditional heteroscedasticity) model to identify the association of weekly market retu...
Main Authors: | Wang, Zhao, Mohamed, Azali, Karbhari, Yusuf, Lau, Wei Theng |
---|---|
Format: | Article |
Language: | English |
Published: |
Faculty of Economics and Management, Universiti Putra Malaysia
2018
|
Online Access: | http://psasir.upm.edu.my/id/eprint/22588/1/23%29%20Stock%20Market%20Linkage.pdf |
Similar Items
-
Contagion in International Stock Markets during the Sub Prime Mortgage Crisis
by: Hsien-Yi Lee
Published: (2011-12-01) -
Contagion in International Stock Markets during the Sub Prime Mortgage Crisis
by: Hsien-Yi Lee
Published: (2011-12-01) -
Contagion in International Stock Markets during the Sub Prime Mortgage Crisis
by: Hsien-Yi Lee
Published: (2011-12-01) -
Contagion in International Stock Markets during the Sub Prime Mortgage Crisis
by: Hsien-Yi Lee
Published: (2012-01-01) -
Contagion in International Stock Markets during the Sub Prime Mortgage Crisis
by: Hsien-Yi Lee
Published: (2012-03-01)