Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 梁伟坚教授 (酒店及旅游管理学院) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1023/A:1027384330827 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/31Scopus source URL
其它资讯
摘要Using a bivariate GARCH model, we examine patterns of information flows for three commodity futures traded in both the developed U.S. market and the emerging China market (copper, soybeans and wheat). For copper and soybeans, the two commodities that are subject to less government regulation and fewer import restrictions in China, we find that the U.S. futures market plays a dominant role in transmitting information to the Chinese market, a result that confirms the importance of the U.S. role as a leader in the global financial market. For the heavily regulated and subsidized wheat commodity, our empirical results indicate that the U.S.-China futures markets are highly segmented in pricing, although information transmission via volatility spillover across markets is present.
着者Fung H.-G., Leung W.K., Xu X.E.
期刊名称Review of Quantitative Finance and Accounting
出版年份2003
月份11
日期1
卷号21
期次3
出版社Western Academic Publishers
出版地United States
页次267 - 285
国际标準期刊号0924-865X
电子国际标準期刊号1573-7179
语言英式英语
关键词China futures market, Cross-market information spillover, GARCH model
