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- W2364307413 abstract "With the development of economics and of China,the tendency of co-movement is emerging among financial markets.In this paper,we investigate the price and volatility spillover among them by utilizing VAR-MVGARCH model,and we find:1) there is no price spillover effect among the three markets,but they all have time-varying variance persistent volatility; 2) there exists asymmetrical bidirectional volatility spillover effect bothbetween stock market and currency market and exchange market and bond market; 3) however,between stock market and bond market there is only unidirectional volatility spillover effect from stock market to bond market." @default.
- W2364307413 created "2016-06-24" @default.
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- W2364307413 date "2010-01-01" @default.
- W2364307413 modified "2023-09-25" @default.
- W2364307413 title "Empirical Research on Spillover Effect among the Stock,Currency and Bond Market of China" @default.
- W2364307413 hasPublicationYear "2010" @default.
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