Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market |
| |
| Authors: | Zhuo Qiao Thomas C Chiang Wing-Keung Wong |
| |
| Institution: | aResearch Institute of Economics and Management, Southwestern University of Finance and Economics, PR China;bDepartment of Finance, Le Bow College of Business, Drexel University, Philadelphia, PA, USA;cDepartment of Economics, Hong Kong Baptist University, Hong Kong;dDepartment of Economics, National University of Singapore, Singapore |
| |
| 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. |
| |
| Keywords: | Stock market segmentation Cointegration FIVECM Multivariate GARCH |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
