Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect

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• 作者：Rui Huo^a ; ^{rui.huo@rmit.edu.au} ; Abdullahi D. Ahmed^b ; ^{abdullahi.ahmed@rmit.edu.au}
• 关键词：G15 ; G11 ; G32 ; G17 ; F36
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：260-272
• 全文大小：380 K
• 卷排序：61

文摘

We examine the impact of Shanghai-Hong Kong Stock Connect. A leading role of the Shanghai stock market is observed after the Stock Connect. The Stock Connect has increased the conditional volatility level of both markets. Financial liberalisation in China has strengthened the volatility spillover effects. Our results have important implications for policy makers and portfolio managers.