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Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets

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  • Chen, Jing
  • Buckland, Roger
  • Williams, Julian
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    Abstract

    We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B and the Hong Kong share markets. We utilize a robustly estimated vector error correction model with multivariate generalized autoregressive conditionally heteroscedasticity (VECM-MV-GARCH) model to test for possible cointegrating vectors between the market segmentations pre and post deregulation of the Chinese B share market. Our results suggest that before deregulation there is weak evidence of cointegration between the A and B share markets. However, post deregulation the situation changes and the segments appear to be significantly cointegrated. MV-GARCH results suggest that the conditional correlations of market/sector shocks also increase significantly over the sample period.

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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 19 (2011)
    Issue (Month): 4 (September)
    Pages: 351-373

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    Handle: RePEc:eee:pacfin:v:19:y:2011:i:4:p:351-373

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    Web page: http://www.elsevier.com/locate/pacfin

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    Keywords: Chinese equity markets Segmentation Cointegration Spillover;

    References

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