Price discovery, Volatility and Information Transmission: The Empirical Evidence from A-share Market and H-share Market

机译：价格发现，波动性和信息传递：来自A股市场和H股市场的经验证据

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This article used A-share index and H-share index for the first time investigates the information transmission mechanism and the returns volatility based on PT/GG model and VECM-BEKK-(BV) GARCH model. The evidence suggests that, in short term, there is a significant innovation shock and unidirectional information transmission from A-share market to H-share market, and unidirectional volatility spillover from H-share to A-share; in long term, A-share market makes primary contribution to the price discovery, and the proportion is 67.94%.

机译：本文首次使用A股指数和H股指数研究了基于PT / GG模型和VECM-BEKK-（BV）GARCH模型的信息传递机制和收益波动率。有证据表明，短期内将发生重大创新冲击，A股市场向H股市场进行单向信息传递，H股向A股市场进行单向波动溢出。长期来看，A股市场对价格发现起主要作用，占67.94％。

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《International institute of statistics and management engineering symposium》|2010年|p.984-991|共8页
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LI Baoren; LIU Yin; ZHANG Nan;
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正文语种
中图分类统计学;统计学;
关键词
price discovery; volatility; PT/GG model; VECM-BEKK-(BV) GARCH MODEL;

机译：价格发现;挥发性; PT / GG模型; VECM-BEKK-（BV）GARCH模型;

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Price discovery, Volatility and Information Transmission: The Empirical Evidence from A-share Market and H-share Market

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