Does cross-shareholding lead to China's stock returns comovement? Evidence from a GMM-based spatial AR model
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DOI: 10.1007/s00181-020-02002-2
Abstract: This investigation investigates how the cross-shareholding network leads to stock returns’ comovement and makes an empirical test using a spatial autoregressive model with multiple weighted matrices. The cross-shareholding network leads to a significant and considerable… read more here.
Keywords: cross shareholding; stock returns; network; returns comovement ... See more keywords
The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market
Sign Up to like & getrecommendations! Published in 2021 at "Computational Economics"
DOI: 10.1007/s10614-021-10092-y
Abstract: This investigation performs a detailed analysis of how the cross-shareholding network enhances stock market comovement and leads to the rise of the risk contagion effect. We construct a model with random shocks to describe the… read more here.
Keywords: risk contagion; contagion; shareholding network; cross shareholding ... See more keywords