Spillover Effects Among the Greater China Stock Markets

Domestic Market Integration and Regional Economic Growth—China’s Recent Experience from 1995–2011

“…Early studies showed that market integration had spillover effects (Johansson & Ljungwall, 2009) and that market integration contributed to growth of productivity and reduction in regional inequality in various countries (Bekaert, Harvey, & Lundblad, 2011;Ezcurra & Rodríguez-Pose, 2013;Tu & Bulte, 2010). Using wage data in different countries, early analyses found that international market integration reduced wage inequality in other countries (Bigsten & Durevall, 2006;Green, Dickerson, & Arbache, 2001).…”

Volatility transmission and volatility impulse response functions among the Greater China stock markets

“…13 The use of Student's ‫ݐ‬ distribution works well with empirical evidence that residuals are fat-tailed (Johansson and Ljungwall, 2006). Estimates of Eq.…”

Volatility Transmission between PALS, FOES, MINIONS and TITANS

“…After seeing these results (Abbas, Khan, & Shah, 2013)analyzed that Pakistan's economic factors are playing an important towards volatility transmission rather than political or other factors. (Johansson & Ljungwall, 2008) explored the three greater Chinese markets and initially founded that all three markets are non-static and they are not co-integrated related which gives a clear meaning that the three return series have no long term relationship. He used a multivariate volatility model because Hong Kong and Taiwanese markets has asymmetric tendencies in the volatility.The results of the model show that china and Hong Kong market has been effected in the mean by the spillover of Taiwanese market.…”