Comparative Research between Shocks of the International Financial Crisis on Mainland and Hongkong Stock Market

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 dif...

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Bibliographic Details
Main Authors: Ping Feng, Dixin Zhang
Format: Conference Proceeding
Language:English
Subjects:
Companies
Correlation
Electric shock
Finance
Indexes
Reactive power
Stock markets
Online Access:Request full text
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Summary: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.
DOI:10.1109/ICMSS.2011.5998168