Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/29114
Title: Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world
Authors: Wang, SS
Firth, M
Keywords: Asian financial crisis
GJR-GARCH
Spillovers
Issue Date: 2004
Source: Journal of international financial markets, institutions and money, 2004, v. 14, no. 3, p. 235-254 How to cite?
Journal: Journal of International Financial Markets, Institutions and Money 
Abstract: This study investigates returns and volatilities transmission across Greater China's four emerging stock markets and three developed international markets, Tokyo, London, and New York. Using daily open and close price data from 1994 to 2001, we provide empirical evidence that the overnight returns on all the Greater China stock indices can be estimated by using information from at least one of the three developed markets' daytime returns. The contemporaneous return spillovers are in general unidirectional from more advanced major international markets to the Chinese markets. However, split-sample analysis suggests that there is also evidence of bi-directional return spillovers after the 1997 Asian financial crisis. We also find that there are no one-period lagged return spillover effects from the three advanced markets to the Chinese markets, except for Taiwan. Finally, Mainland China's two stock markets are not affected by contemporaneous nor delayed "bad news".
URI: http://hdl.handle.net/10397/29114
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2003.07.002
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