Sector connectedness in the Chinese stock markets-Reference-Cited by-同舟云学术

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Sector connectedness in the Chinese stock markets

Published:2021-04-19 Issue:2 Volume:62 Page:825-852
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Shen Ying-Ying,Jiang Zhi-Qiang^ORCID,Ma Jun-Chao,Wang Gang-Jin,Zhou Wei-Xing

Funder

National Natural Science Foundation of China

Shanghai Philosophy and Social Science Fund Project

Program of Shanghai Young Top-notch Talent

Shanghai Outstanding Academic Leaders Plan

Fundamental Research Funds for the Central Universities

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s00181-021-02036-0.pdf

Reference43 articles.

1. Adrian T, Brunnermeier MK (2016) CoVaR. Am Econ Rev 106(7):1705–1741. https://doi.org/10.1257/aer.20120555

2. Ahmad W, Mishra AV, Daly K (2018) Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. Int Rev Financ Anal 59:117–133. https://doi.org/10.1016/j.irfa.2018.07.005

3. Arouri MEH, Jouini J, Nguyen DK (2011) Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. J Int Money Financ 30(7):1387–1405. https://doi.org/10.1016/j.jimonfin.2011.07.008

4. Baele L (2005) Volatility spillover effects in European equity markets. J Financ Quant Anal 40(2):373–401. https://doi.org/10.1017/S0022109000002350

5. Baruník J, Kočenda E, Vácha L (2017) Asymmetric volatility connectedness on the forex market. J Int Money Financ 77:39–56. https://doi.org/10.1016/j.jimonfin.2017.06.003

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