Cross-correlations between Chinese A-sha
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Yudong Wang; Yu Wei; Chongfeng Wu
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Article
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2010
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Elsevier Science
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English
โ 490 KB
In this paper, we investigate the cross-correlations between Chinese A-share and B-share markets. Qualitatively, we find that the return series of Chinese A-share and B-share markets were overall significantly cross-correlated based on the analysis of a statistic. Quantitatively, employing the detre