Stock market linkage and impact of the sub-prime mortgage crisis: evidence from Mainland China and Hong Kong
This study investigates the linkage between Mainland China and Hong Kong stock markets pre and post 2007 U.S. sub-prime mortgage crisis. We employ Dynamic Conditional Correlation GARCH (generalised autoregressive conditional heteroscedasticity) model to identify the association of weekly market retu...
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| Hlavní autoři: | , , , |
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| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
Faculty of Economics and Management, Universiti Putra Malaysia
2018
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| On-line přístup: | http://psasir.upm.edu.my/id/eprint/22588/1/23%29%20Stock%20Market%20Linkage.pdf |
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