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Volatility spillovers between the Chinese and world equity markets · Study

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ArticleVolatility spillovers between the Chinese and world equity markets

Xiangyi Zhou2011

Article2011

Volatility spillovers between the Chinese and world equity markets

Xiangyi Zhou · Weijin Zhang · Jie Zhang

262 citations·0/0 files stored·Pacific-Basin Finance Journal

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1995Time‐Varying World Market Integration 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1990Correlations in Price Changes and Volatility across International Stock Markets

Cited by

2012Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries 2018The dynamic spillover between carbon and energy markets: New evidence 2014How strong is the linkage between tourism and economic growth in Europe?2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States 2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method

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2011Volatility Spillovers between Chinese and World Equity Marketspreprint · 11 shared references 2018Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approacharticle · 9 shared references 2004A multilateral approach to examining the comovements among major world equity marketsarticle · 9 shared references 2013Reexamining the time-varying volatility spillover effects: A Markov switching causality approacharticle · 9 shared references 2002Are Financial Assets Priced Locally or Globally?report · 8 shared references 2009The co-movement of stock markets in East Asiaarticle · 8 shared references

Details

Year2011

Typearticle

Published2011-09-16

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations262

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.pacfin.2011.08.002

openalex_workW3125237652

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