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An analysis of dynamic risk in the Greater China equity markets

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  • Anders Johansson

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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Bibliographic Info

Article provided by Taylor & 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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Citations

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Cited by:
  1. Anders C. Johansson, 2011. "Financial Markets in East Asia and Europe during the Global Financial Crisis," The World Economy, Wiley Blackwell, vol. 34, pages 1088-1105, 07.
  2. Anders Johansson, 2010. "China's financial market integration with the world," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(3), pages 293-314.
  3. Qiwei Chen & Ying Jiang & Yuan Li, 2012. "The state of the market and the contrarian strategy: evidence from China's stock market," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 10(1), pages 89-108, September.
  4. Johansson, Anders C., 2010. "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 335-350, September.

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