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.
Stock market segmentation, Cointegration, FIVECM, Multivariate GARCH
Source Publication Title
Journal of International Financial Markets Institutions and Money
Link to Publisher's Edition
Qiao, Z., Chiang, T., & Wong, W. (2008). 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). https://doi.org/10.1016/j.intfin.2007.05.004