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このアイテムの引用には次の識別子を使用してください:
http://hdl.handle.net/10119/3912
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| タイトル: | General State Space Modeling and Japan's Stock and China’s Stock Volatility |
| 著者: | Dehong, Zhang
Yoshida, Taketoshi |
| キーワード: | general state space modeling
Chinese markets |
| 発行日: | Nov-2005 |
| 出版者: | JAIST Press |
| 抄録: | In this paper, we introduce General State Space Modeling to explain the comovement of Japan’s stock and China’s stock volatility. Chinese markets trade A-shares for domestic investors and otherwise identical B-shares for foreign investors. For A-shares, we find that volatility declined steadily over the decade. Relative to world markets, we find no asymmetric volatility effect in China and less volatility persistence for B-shares. And, contrary to the global trend of increasing cross-country correlations, we find stationary correlations for the Chinese markets. A-shares indices never correlated with world markets and for B-shares indices, we find constant low correlation with Japan (0-5%). |
| 記述: | The original publication is available at JAIST Press http://www.jaist.ac.jp/library/jaist-press/index.html
IFSR 2005 : Proceedings of the First World Congress of the International Federation for Systems Research : The New Roles of Systems Sciences For a Knowledge-based Society : Nov. 14-17, 2122, Kobe, Japan
Symposium 5, Session 3 : Data/Text Mining from Large Databases Data Mining |
| 言語: | ENG |
| URI: | http://hdl.handle.net/10119/3912 |
| ISBN: | 4-903092-02-X |
| 出現コレクション: | IFSR 2005
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このアイテムのファイル:
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記述 |
サイズ | 形式 |
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| 20138.pdf | | 54Kb | Adobe PDF | 見る/開く |
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