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A Note On The Correlation Relationship Among Singapore, Hong Kong And The Us Capital Markets Since The Hong Kong Handover: Implication For International Portfolio Management

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  • LEO H. CHAN

    (Finance, Department of Accounting and Finance, School of Management, Delaware State University, 1200 N. DuPont Highway, Dover, DE 19901, USA)

Abstract

In this note, I document the change in correlation between Hong Kong, Singapore and the US financial market indexes using Geweke Measures after the handover of Hong Kong to China. The results show that these relationships have changed significantly. While the feedback relationship between Hong Kong, Singapore and the US markets increase after the handover of Hong Kong, the increases in feedback relationship between Singapore and the US markets is relatively higher compared to the change between Hong Kong and the US markets.

Suggested Citation

  • Leo H. Chan, 2006. "A Note On The Correlation Relationship Among Singapore, Hong Kong And The Us Capital Markets Since The Hong Kong Handover: Implication For International Portfolio Management," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 335-342.
    • Handle: RePEc:wsi:serxxx:v:51:y:2006:i:03:n:s0217590806002470
    DOI: 10.1142/S0217590806002470
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