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An analysis of dynamic risk in the Greater China equity markets

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Author Info
Anders Johansson

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Abstract

This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and Shenzhen markets both have a low average systematic risk when measured against the world market. The short outbursts in systematic risk for these two markets seem to be directly related to policy shifts. The Hong Kong and Taiwan markets are more integrated with world markets and they show signs of large variations in systematic risk over time. Furthermore, conditional betas in the Shanghai and Shenzhen markets are stationary, while the Hong Kong and Taiwan betas are integrated of order one. In addition, long memory tests show that all four markets exhibit a long-run dependence in their conditional betas. While the two mainland China market betas are covariance stationary, the Hong Kong and Taiwan betas are not.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/14765280903073165&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Journal of Chinese Economic and Business Studies.

Volume (Year): 7 (2009)
Issue (Month): 3 ()
Pages: 299-320
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Handle: RePEc:taf:jocebs:v:7:y:2009:i:3:p:299-320

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Related research
Keywords: Greater China; time-varying beta; multivariate GARCH; unit roots; long memory;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Johansson, Anders C., 2009. "China'S Financial Market Integration With The World," Working Paper Series 2009-10, China Economic Research Center, Stockholm School of Economics. [Downloadable!]
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