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Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010

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  • RICHARD C. K. BURDEKIN

    ()

  • PIERRE L. SIKLOS

    ()

Abstract

This paper applies a variety of short-run and long-run time series techniques to data on a broad group of Asia-Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia-Pacific region and offers some support for contagion effects. Post-Asian financial crisis quantile regressions yield substantial evidence of long-run linkages between the Shanghai market, the US market and many regional exchanges. Cointegration is particularly prevalent at the higher end of the distribution. Our results suggest that the enormous growth of the Shanghai market in the new millennium has been accompanied by a meaningful level of integration with other regional and world markets in spite of ongoing capital controls.

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File URL: http://cama.crawford.anu.edu.au/pdf/working-papers/2011/352011.pdf
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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2011-35.

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Length: 37 pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:een:camaaa:2011-35

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Cited by:
  1. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.

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