PhD Thesis Title: Volatility spill-over effects between the Chinese Stock Market and the main markets abroad.
Supervisor: Professor Louis Murray
External Examiner: Dr Jian Chen, The University of Nottingham
The title of PhD thesis is Contagion Effect of Global Financial Crisis between Chinese Stock Markets and Main Markets Abroad. The study seeks to find the rules and appropriate research methods to determine the correlations across markets between returns and risks, particularly, the structural change of these correlations since it shall be observed as a time-varying interdependency character. The main findings focus on the structural switch of volatility co-movements, which demonstrates the European financial market is affected by the subprime mortgage crisis. However, the Chinese A-shares are affected but indirectly and subtly. Empirical results also demonstrate that information asymmetry may be a potential channel to transmit financial crises contagion.