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 journalArticlepeer-review

37 Citations (Scopus)
2 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

  • Cointegration
  • FIVECM
  • Multivariate GARCH
  • Stock market segmentation

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