The Dynamic Relationship of China's Stock Markets: A VAR-MGARCH Model

@article{Liu2011TheDR,
  title={The Dynamic Relationship of China's Stock Markets: A VAR-MGARCH Model},
  author={Changjiang Liu},
  journal={2011 International Conference on Business Computing and Global Informatization},
  year={2011},
  pages={166-169}
}
  • Changjiang Liu
  • Published 2011 in
    2011 International Conference on Business…
This paper tries to study the integration and spillover effect between Shanghai Stock Exchange and New York Stock Exchange. At first, similar to Chow and Lawler (2003), the weekly return and volatility of Shanghai and New York Stock Exchange composite indices are analyzed with vector auto regression, stationarity test, and Granger causality test in order to… CONTINUE READING