Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect
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DOI: 10.1016/j.econmod.2016.09.021
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More about this item
Keywords
Volatility spillovers; BEKK GARCH; Shanghai-Hong Kong Stock Connect; Portfolio;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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