The paradox of China's international stock market co‐movement: Evidence from volatility spillover effects between China and G5 stock markets

@inproceedings{Nishimura2010ThePO,
  title={The paradox of China's international stock market co‐movement: Evidence from volatility spillover effects between China and G5 stock markets},
  author={Yusaku F. Nishimura and Ming Xin Men},
  year={2010}
}
Purpose - The purpose of this paper is to examine the daily and overnight volatility spillover effects in common stock prices between China and G5 countries and explain their implications on the basis of empirical results. Design/methodology/approach - The analysis utilizes the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, the cross-correlation function approach, and realized volatility for daily and intraday stock price data that cover the period from… CONTINUE READING