文献类型： 会议论文

第一作者： ZHU Tianxing

作者： ZHU Tianxing ¹ ; CHEN Yan ² ; LI Qian ³ ; CAO Tingting ⁴ ;

作者机构： 1.School of Management, Dalian University of Technology, Dalian, China, 116024,Postdoctoral Programme of bank of Dalian, Dalian, China, 116001,Economic School, Shenyang University of Technology, Shenyang, China, 110870

2.Accountancy College, Dongbei University of Finance and Economics, Dalian, China, 116025

3.Economic School, Shenyang University of Technology, Shenyang, China, 110870

4.School of Management, Dalian University of Technology, Dalian, China, 116024

关键词： casual relationship;large cap portfolio;small cap portfoil;VAR model;variance decomposition

会议名称： International conferece on financial risk and corporate finance managament

主办单位：

页码： 201-205

摘要： The study investigates return spillover effect between large and small portfolios in ShangHai stock market in China using daily price data. The VAR model together with the variance decomposition (VDC) and the impulse response function (IRF) analysis are employed to uncover both casual and dynamic relationship between the large stocks and small stocks. The results show that there are very significant return spillovers from the market portfolios of large stocks to the portfolios of small stocks.

分类号： F831`F831