Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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

Publication Date

2008

Source Publication Title

Journal of International Financial Markets Institutions and Money

Volume

18

Issue

5

Start Page

425

End Page

437

Publisher

Elsevier

Peer Reviewed

1

DOI

10.1016/j.intfin.2007.05.004

Link to Publisher's Edition

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

ISSN (print)

10424431

Included in

Economics Commons

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