Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market

Zhuo Qiao, Thomas C. Chiang*, Wing-Keung Wong

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    43 Citations (Scopus)
    19 Downloads (Pure)

    Abstract

    This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the B-share and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets.

    Original languageEnglish
    Pages (from-to)425-437
    Number of pages13
    JournalJournal of International Financial Markets, Institutions and Money
    Volume18
    Issue number5
    DOIs
    Publication statusPublished - Dec 2008

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics

    User-Defined Keywords

    • Stock market segmentation
    • Cointegration
    • FIVECM
    • Multivariate GARCH

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