Price and Volatility Spillovers between Greater China and Japan and Us Markets
Author | : Ping Wang |
Publisher | : |
Total Pages | : 19 |
Release | : 2008 |
ISBN-10 | : OCLC:1290313133 |
ISBN-13 | : |
Rating | : 4/5 (33 Downloads) |
Download or read book Price and Volatility Spillovers between Greater China and Japan and Us Markets written by Ping Wang and published by . This book was released on 2008 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The conjecture that developed markets dominate emerging markets in stock market interactions is questioned - such asymmetric dominance of developed markets over developing markets does not show up in the present study where the developing market of China is of a comparable size in relation to the developed markets of Japan and the US. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.