Bilateral Relationships between the Shanghai A- and B-Shares Stock Markets: Evidence from the B-Share's Opening to Chinese Citizens

Jung-Lieh Hsiao ； Hsiang-Hsi Liu

《Asia Pacific Management Review》 17卷1期 (2012/03) Pp. 2-18

https://doi.org/10.6126/APMR.2012.17.1.01

並列摘要

This paper adopts a bivariate ABEKK GARCH-X-t model to examine the bilateral relationships between the Shanghai A- and B-shares stock markets in China by using daily data of the markets. One-way mean spillover is detected from A-shares to B-shares stock market for the period of study. Good and bad news affect the volatility of the A- and B-shares markets unequally. In addition, there is evidence that the change in conditional correlations may be due to the opening of B-shares to Chinese citizens and has connection with market information arrival. Furthermore, the change in conditional correlations may have investment implication on asset allocation.

並列關鍵字

ABEKK GARCH-X-t model ； Mean Spillover ； Opening of B-shares

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