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The effect of b share market reform on volatility spillovers and changes in correlation between chinese a and b.
| Content Provider | CiteSeerX |
|---|---|
| Author | Veiga, Bernardo Da Chan, Felix Mcaleer, Michael |
| Abstract | The aim of this paper is to investigate the effect of the Chinese B share market reform on the correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share index (SHB), Shenzen A share index (SZA) and Shenzen B share index (SZB) are |
| File Format | |
| Access Restriction | Open |
| Subject Keyword | Volatility Spillover Share Market Reform Shenzen Share Index Shanghai Share Index Shenzen Stock Exchange Daily Return Chinese Share Market Reform Information Transmission |
| Content Type | Text |
| Resource Type | Article |