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Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market
Zhuo Qiao1,4; Thomas C. Chiang2; Wing-Keung Wong3,4
2007-06-06
Source PublicationJournal of International Financial Markets, Institutions and Money
ISSN1042-4431
Volume18Issue:5Pages:425-437
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.

KeywordStock Market Segmentation Fivecm Multivariate Garch Cointegration
DOIhttps://doi.org/10.1016/j.intfin.2007.05.004
Indexed BySSCI ; SSCI
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorThomas C. Chiang
Affiliation1.Research Institute of Economics and Management, Southwestern University of Finance and Economics, PR China
2.Department of Finance, Le Bow College of Business, Drexel University, Philadelphia, PA, USA
3.Department of Economics, Hong Kong Baptist University, Hong Kong
4.Department of Economics, National University of Singapore, Singapore
Recommended Citation
GB/T 7714
Zhuo Qiao,Thomas C. Chiang,Wing-Keung Wong. Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market[J]. Journal of International Financial Markets, Institutions and Money,2007,18(5):425-437.
APA Zhuo Qiao,Thomas C. Chiang,&Wing-Keung Wong.(2007).Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market.Journal of International Financial Markets, Institutions and Money,18(5),425-437.
MLA Zhuo Qiao,et al."Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market".Journal of International Financial Markets, Institutions and Money 18.5(2007):425-437.
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