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1 – 2 of 2Sang Hoon Kang and Seong-Min Yoon
This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The…
Abstract
This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The investigation was performed using the VECM-DCC-GARCH approach. In the case of returns, we found a significant unidirectional information flow from the futures market to the spot market; this implies that the KOSPI 200 futures market plays an important role on the price discovery in the spot market. In addition, we found a strong bi-directional casualty involving the volatility interaction between the spot and futures markets; this implies that market volatility originating in the spot market will influence the volatility of the futures market and vice versa. We also found strong asymmetric volatility spillover effects between the two markets.
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Langnan Chen, Steven Li and Weibin Lin
The opening up of B-share markets to domestic investors in 2001 is a landmark event in the development of the Chinese stock markets. This chapter aims to assess the possible…
Abstract
The opening up of B-share markets to domestic investors in 2001 is a landmark event in the development of the Chinese stock markets. This chapter aims to assess the possible changes in the market mechanism associated with this important event. A VECM-DCC-MVGARCH model is employed to investigate the market integration process in Chinese stock markets around the opening up of the B-share market to domestic investors. Our empirical results reveal that the Chinese stock markets were segmented before the opening up whereas they were integrated to some extent in the long-run after the opening up of B-share markets. Moreover, it is also found that A-share markets played a dominant role on the information flows between A-share and B-share markets; the short-run information flows between A-share and B-share markets were more rapid after the opening up of B-share markets.