Two-Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets

CORC > 厦门大学 > 王亚南院－已发表论文

	Two-Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets
	Kent Wang ; Li Miao ; Jiawei Li
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=285
	2013-11-08
英文摘要	We analyzed the correlation between mainland China and Hong Kong stock markets based on cash flow (CF) news and discount rate (DR) news instead of considering market return as a whole. We decomposed stock return into CF news and DR news following Campbell and Vuolteenaho. Then, the VARBEKK-GARCH method was used to investigate the time-varying correlations of CF news and DR news in the two markets.We ensured robustness by using the structural break test from Bai and Perron to estimate the structural break points during the sample period. The results show that CF news and DR news in the mainland China market is more volatile than in the Hong Kong market, and DR news correlation is usually negative when the mainland China market is undergoing some reform. The estimated structural break points were matched to important events in the mainland China market and the two markets become increasingly correlated.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56922]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Kent Wang,Li Miao,Jiawei Li . Two-Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=285,2013.
APA	Kent Wang,Li Miao,&Jiawei Li .(2013).Two-Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets.http://www.wise.xmu.edu.cn/paperInfor.asp?id=285.
MLA	Kent Wang,et al."Two-Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets".http://www.wise.xmu.edu.cn/paperInfor.asp?id=285 (2013).