Document Type

Journal Article

Department/ Unit

Department of Economics

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.

Publication Year

2008

Journal Title

Journal of International Financial Markets Institutions and Money

Volume number

18

Issue number

5

Publisher

Elsevier

First Page (page number)

425

Last Page (page number)

437

Referreed

1

DOI

10.1016/j.intfin.2007.05.004

ISSN (print)

1042-4431

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.intfin.2007.05.004

Keywords

Stock market segmentation, Cointegration, FIVECM, Multivariate GARCH

Included in

Economics Commons

Share

COinS