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Li, Y.Q. and Li, C.W. (2017) Research on the Linkage and Risk Spillover Effect of Shanghai and Hong Kong Stock Markets—Based on the Comparative Analysis of Shanghai-Hong Kong Stock Connect before and after Implementation. Shanghai Finance, No. 10, 70-80.
https://doi.org/10.3724/sp.j.1383.204013

has been cited by the following article:

• TITLE: Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model

  AUTHORS: Yiping Yu

  KEYWORDS: Shipping Stock Pricing, DC-MSV, Time-Varying Correlation, Volatility Spillover Effect

  JOURNAL NAME: Modern Economy, Vol.10 No.12, December 27, 2019

  ABSTRACT: DC-MSV and GC-MSV models are established to study the dynamic correlation and risk spillover effects among domestic and foreign shipping stocks price for the evaluation of pricing globalization. The empirical analysis adopting MCMC algorithm shows that the dynamic correlations rose between A stocks and their H counterparty index and shipping stocks, which relate to the gradually opening up investment threshold. However, the dynamic correlations did not go up between domestic shipping stocks and their oversea counterparties. A shipping stocks’ price is Granger cause of their H stocks and the forward risk spillover effects are stronger, which means shipping stocks are mainly priced in domestic market. Further opening up will make China a global shipping asset pricing center, following the global shipbuilding and shipping center.