Department of Economics
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.
Journal of International Financial Markets Institutions and Money
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Stock market segmentation, Cointegration, FIVECM, Multivariate GARCH
Qiao, Zhuo, Thomas C Chiang, and Wing Keung Wong. "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 (2008): 425-437.