Weighted cross correlation function-based causality-in-variance test was used to analyze the fluctuated spillovers between Shanghai composite index and Hang seng index, and BEKK model was built to test the time-varying correlation of the two time series. The results show that the fluctuated spillover between these two stock markets is not obvious and their correlation is small, but there is a trend toward the increase for the two tome series.
龚朴, 李梦玄. 沪港股市的波动溢出和时变相关性研究[J]. J4, 2008, 5(1): 96-.
GONG Pu, LI Meng-Xuan. Fluctuated Spillovers between Shanghai and Hong Kong Stock Marketsand Their Time-varying Correlation. J4, 2008, 5(1): 96-.