Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets
AbstractWe 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 InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 19 (2011)
Issue (Month): 4 (September)
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Web page: http://www.elsevier.com/locate/pacfin
Chinese equity markets Segmentation Cointegration Spillover;
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