[期刊论文][Full-length article]


Asymmetric risk transmission effect of cross-listing stocks between mainland and Hong Kong stock markets based on MF-DCCA method

作   者:
Guangxi Cao;Ling Zhou;

出版年:2019

页    码:120741 - 120741
出版社:Elsevier BV


摘   要:

With the implementation of “Shanghai–Hong Kong Stock Connect” and “Shenzhen–Hong Kong Stock Connect,” the mainland and Hong Kong stock markets are becoming more closely linked. Based on the A+H cross-listed A-share and H-share market indices, this study employs asymmetric multifractal cross-correlation methods to analyze the asymmetric cross-correlation between the A-share and H-share markets from diverse perspectives of different ups and downs and various conduction directions with 79 sample stocks from January 1 a=2004 to May 26, 2017. Empirical results show that the A+H shares have long memory in different trends, which is stronger in the downward trend of stock price. It indicates that regardless of which market with A+H shares showing a downward trend are on, driving the future on the local market and the corresponding cross-listed market show a downward trend is easier than driving the rising trend. In addition, a bidirectional risk conduction effect exists between A and H shares, and the A-share market has a strong transmission effect on the H-share market.



关键字:

A+H cross-listing ; Asymmetric MF-DCCA ; Long memory ; Risk conduction


所属期刊
Physica A: Statistical Mechanics and its Applications
ISSN: 0378-4371
来自:Elsevier BV