Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan

Download or read book Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan written by Ping Wang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.