The empirical research of cross-listed shares: The case of AH shares
Empirický výzkum křížově obchodovaných akcií: Případ akcií AH
diplomová práce (OBHÁJENO)
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Trvalý odkaz
http://hdl.handle.net/20.500.11956/150504Identifikátory
SIS: 237828
Kolekce
- Kvalifikační práce [17123]
Autor
Vedoucí práce
Oponent práce
Novák, Jiří
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
Institut ekonomických studií
Datum obhajoby
15. 9. 2021
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Velmi dobře
This thesis analyzes the information transmission and correlation of the AH share and its listed stock markets and uses the Shanghai-Hong Kong Stock Connect (refer as "the Connect") as a breakthrough to study its development trend. The dataset includes the daily returns of Shanghai and Hong Kong stock markets, AH share markets, and eight AH bank shares during 2010-2018. Using DCC GARCH and VAR models, we find persistent correlations for Shanghai and Hong Kong stock markets, the AH share market, and AH bank stocks. However, for AH bank shares, we do not find a growing trend of dynamic correlation. Moreover, the Connect has an insignificant effect on the correlation of cross-listed shares. We also find Granger causality for the SSE index as the Hang Seng index, but for the AH share market and AH bank shares, it is Granger causality for the H stocks as the A stocks.