%0 Journal Article
%T Co-Movement and Interaction Effects across the Monetary, Foreign Exchange and Stock Markets: Evidence from China
%A Xuejin Zhao
%A Han Zhang
%J Journal of Financial Risk Management
%P 247-255
%@ 2167-9541
%D 2017
%I Scientific Research Publishing
%R 10.4236/jfrm.2017.63018
%X This paper investigates the issue of co-movement and
interaction among the monetary, foreign exchange and stock markets by employing
the data from China¡¯s financial markets. Based on the ICA-EGARCH-M model, we
explore the volatility spillover effects so as to illustrate the overall
co-movements across financial markets. Furthermore, in order to observe the
multi-market dynamic relationship variation process, we calculate the dynamic
correlation coefficients with the AG-DCC-MGARCH model. Our findings provide both
static and dynamic evidence on the co-movement and interaction effects of
financial markets which may lead to the systemic financial risk.
%K Co-Movement
%K Interaction
%K Financial Markets
%K Spillover Effect
%K Dynamic Correlation
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=78356