An Empirical Analysis of Information Transmission Mechanism and the Trilateral Relationship among the Mainland China, Hong Kong, and Taiwan Stock Markets_

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題名：	An Empirical Analysis of Information Transmission Mechanism and the Trilateral Relationship among the Mainland China, Hong Kong, and Taiwan Stock Markets
書刊名：	Asia Pacific Management Review
作者：	Huang, Tzu-lun／Kuo, Hsiou-jen
出版日期：	2015
卷期：	20:2
頁次：	頁65-78
主題關鍵詞：	BEKK GARCH；Causality；Information flow；Return transmission；Volatility spillover effect
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:8

With rapid economic development over the last few decades, Mainland China has emerged as a crucial role in the global markets. One might wonder whether Mainland China could serve as an international center and exhibit significant influences over the neighboring markets. Particularly, the Hong Kong and Taiwan markets, being geographically near and culturally close to China, are supposed to be deeply influenced. Utilizing trivariate BEKK (Baba, Engle, Kraft, and Kroner)-GARCH (Generalized Auto Regressive Conditional Heteroskedasticity) modes, the study attempts to investigate the trilateral relationship among these markets during the 2000–2012 period from the perspective of information transmission. The findings indicate that the Mainland China stock market significantly affected the Hong Kong and Taiwan markets through volatility spillover effects during the sample period. Accordingly, the Mainland China stock market is found to play a leading role in information transmission. Moreover, this study utilizes the BEKK-GARCH model to depict conditional variances and dynamic correlations among these markets. The evidence implies that these markets are closely linked and gradually integrated.

以文找文

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