Matches in SemOpenAlex for { <https://semopenalex.org/work/W2611092147> ?p ?o ?g. }
- W2611092147 abstract "By employing multivariate GARCH models to stock returns and AR-GARCH models with change points identified by ICSS algorithm to predicted dynamics conditional correlations, this paper seeks to analyze information shocks on daily return dynamics in three Chinese segmented stock markets, namely Shanghai, Shenzhen and Hong Kong, during the sample period 2014-2016. The paper finds the significant evidence of contagion in the time-varying correlation between Shanghai and Shenzhen stock market as well as the statistically and economically significant decrease in the correlation series of Shanghai-Hong Kong and Shenzhen and Hong Kong after the burst of the stock market bubble and the onset of Shanghai-Hong Kong Stock Connect, respectively, which proves that the constant conditional correlation model, even following the heteroskedasticity-adjusted method of Forbes & Rigobon (2002), may fail to capture the time-varying feature, to reflect the reality of dynamic market conditions or to arrive at a correct conclusion on financial contagion in the stock markets." @default.
- W2611092147 created "2017-05-12" @default.
- W2611092147 creator A5019750053 @default.
- W2611092147 creator A5091259545 @default.
- W2611092147 date "2017-01-01" @default.
- W2611092147 modified "2023-09-25" @default.
- W2611092147 title "An Analysis on the Structural Breaks in Dynamic Conditional Correlations Among Equity Markets Based on the ICSS Algorithm: The Case from 2015-2016 Chinese Stock Market Turmoil" @default.
- W2611092147 cites W1576326745 @default.
- W2611092147 cites W1727659491 @default.
- W2611092147 cites W1925164327 @default.
- W2611092147 cites W1965635191 @default.
- W2611092147 cites W1966268097 @default.
- W2611092147 cites W1968914532 @default.
- W2611092147 cites W1974156766 @default.
- W2611092147 cites W1975994995 @default.
- W2611092147 cites W1976058214 @default.
- W2611092147 cites W1977480757 @default.
- W2611092147 cites W1979575715 @default.
- W2611092147 cites W1983714919 @default.
- W2611092147 cites W1985059128 @default.
- W2611092147 cites W1998213661 @default.
- W2611092147 cites W1998968611 @default.
- W2611092147 cites W1999996900 @default.
- W2611092147 cites W2005424182 @default.
- W2611092147 cites W2018364810 @default.
- W2611092147 cites W2019050323 @default.
- W2611092147 cites W2034707435 @default.
- W2611092147 cites W2043276687 @default.
- W2611092147 cites W2052441401 @default.
- W2611092147 cites W2054255599 @default.
- W2611092147 cites W2054477007 @default.
- W2611092147 cites W2058580285 @default.
- W2611092147 cites W2061160212 @default.
- W2611092147 cites W2066580768 @default.
- W2611092147 cites W2067184061 @default.
- W2611092147 cites W2069761834 @default.
- W2611092147 cites W2072561038 @default.
- W2611092147 cites W2073202712 @default.
- W2611092147 cites W2076788792 @default.
- W2611092147 cites W2078568465 @default.
- W2611092147 cites W2079615115 @default.
- W2611092147 cites W2090637028 @default.
- W2611092147 cites W2092340563 @default.
- W2611092147 cites W2093230975 @default.
- W2611092147 cites W2095220910 @default.
- W2611092147 cites W2097580026 @default.
- W2611092147 cites W2108298905 @default.
- W2611092147 cites W2110603299 @default.
- W2611092147 cites W2122549219 @default.
- W2611092147 cites W2127223208 @default.
- W2611092147 cites W2129985154 @default.
- W2611092147 cites W2130568235 @default.
- W2611092147 cites W2136056119 @default.
- W2611092147 cites W2142635246 @default.
- W2611092147 cites W2143053136 @default.
- W2611092147 cites W2149908462 @default.
- W2611092147 cites W2153562738 @default.
- W2611092147 cites W2157895285 @default.
- W2611092147 cites W2158542298 @default.
- W2611092147 cites W2162397513 @default.
- W2611092147 cites W2164923280 @default.
- W2611092147 cites W2168718710 @default.
- W2611092147 cites W2263718638 @default.
- W2611092147 cites W3022041122 @default.
- W2611092147 cites W3022133508 @default.
- W2611092147 cites W3022253700 @default.
- W2611092147 cites W3022360661 @default.
- W2611092147 cites W3121583322 @default.
- W2611092147 cites W3121758033 @default.
- W2611092147 cites W3121766225 @default.
- W2611092147 cites W3122310799 @default.
- W2611092147 cites W3122701892 @default.
- W2611092147 cites W3123016320 @default.
- W2611092147 cites W3123068586 @default.
- W2611092147 cites W3123118666 @default.
- W2611092147 cites W3123226880 @default.
- W2611092147 cites W3123289511 @default.
- W2611092147 cites W3123450810 @default.
- W2611092147 cites W3123517458 @default.
- W2611092147 cites W3124124033 @default.
- W2611092147 cites W3124242984 @default.
- W2611092147 cites W3124322811 @default.
- W2611092147 cites W3124454571 @default.
- W2611092147 cites W3124548736 @default.
- W2611092147 cites W3125017385 @default.
- W2611092147 cites W3125424569 @default.
- W2611092147 cites W3125785213 @default.
- W2611092147 cites W3125986434 @default.
- W2611092147 cites W3126072850 @default.
- W2611092147 cites W3126146309 @default.
- W2611092147 cites W4230206799 @default.
- W2611092147 doi "https://doi.org/10.2139/ssrn.2959830" @default.
- W2611092147 hasPublicationYear "2017" @default.
- W2611092147 type Work @default.
- W2611092147 sameAs 2611092147 @default.
- W2611092147 citedByCount "0" @default.
- W2611092147 crossrefType "journal-article" @default.
- W2611092147 hasAuthorship W2611092147A5019750053 @default.
- W2611092147 hasAuthorship W2611092147A5091259545 @default.
- W2611092147 hasConcept C106159729 @default.