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Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India

Emerging Markets Journal

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Field Value
 
Title Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India
 
Creator Chen, Menggen
 
Subject —
 
Description Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.
 
Publisher University Library System, University of Pittsburgh
 
Contributor This study is supported by Key Project of National Social Science Fund of China (13AZD086), Program for New Century Excellent Talents in University (NECT-11-0029), Research Project of National Statistical Science (2012LZ042), Humanities and Social Science
 
Date 2014-08-06
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://emaj.pitt.edu/ojs/index.php/emaj/article/view/58
10.5195/emaj.2014.58
 
Source EMAJ: Emerging Markets Journal; Vol 4, No 1 (2014); 33-42
2158-8708
 
Language eng
 
Relation http://emaj.pitt.edu/ojs/index.php/emaj/article/view/58/221