Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/29114
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dc.contributor.authorWang, SSen_US
dc.contributor.authorFirth, Men_US
dc.date.accessioned2015-06-23T09:14:16Z-
dc.date.available2015-06-23T09:14:16Z-
dc.date.issued2004-
dc.identifier.citationJournal of international financial markets, institutions and money, 2004, v. 14, no. 3, p. 235-254en_US
dc.identifier.issn1042-4431-
dc.identifier.urihttp://hdl.handle.net/10397/29114-
dc.description.abstractThis 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".en_US
dc.description.sponsorshipSchool of Accounting and Financeen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of International Financial Markets, Institutions and Moneyen_US
dc.subjectAsian financial crisisen_US
dc.subjectGJR-GARCHen_US
dc.subjectSpilloversen_US
dc.titleDo bears and bulls swim across oceans? Market information transmission between greater China and the rest of the worlden_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage235-
dc.identifier.epage254-
dc.identifier.volume14-
dc.identifier.issue3-
dc.identifier.doi10.1016/j.intfin.2003.07.002-
dc.identifier.scopus2-s2.0-1342328594-
dc.identifier.rosgroupidr23835-
dc.description.ros2004-2005 > Academic research: refereed > Publication in refereed journal-
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