Information Transmission between Large and Small Stocks: Evidence from China

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.