Title :
Comparative Research between Shocks of the International Financial Crisis on Mainland and Hongkong Stock Market
Author :
Ping Feng ; Dixin Zhang
Author_Institution :
Dept. of Finance, Nanjing Univ., Nanjing, China
Abstract :
This paper adopts VAR model to analyze the different shocks of this financial crisis on the mainland and Hongkong market, and the reason of these differences, by observing the responses of A-H cross-listed companies. Besides, we use event analysis to study the volatility effect of two markets by different events during different periods of this crisis. Through the empirical research, we reveal how the crisis transmits to our capital market.
Keywords :
economic indicators; international finance; international trade; stock markets; Hongkong stock market; VAR model; international financial crisis; shocks; Companies; Correlation; Electric shock; Finance; Indexes; Reactive power; Stock markets;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998168
