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An Analysis Of Dynamic Risk In The Greater China Equity Markets

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Author Info
Johansson, Anders C. () (China Economic Research Center)

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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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Publisher Info
Paper provided by China Economic Research Center, Stockholm School of Economics in its series Working Paper Series with number 2009-5.

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Length: 33 pages
Date of creation: 01 Mar 2009
Date of revision:
Publication status: Forthcoming in Journal of Chinese Economic and Business Studies.
Handle: RePEc:hhs:hacerc:2009-005

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Postal: China, Economic Research Center, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-8-736 90 00
Fax: +46-8-31 81 86
Web page: http://www.hhs.se/CERC/
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Related research
Keywords: China; Taiwan; Hong Kong; time-varying beta; GARCH; unit roots; long memory;

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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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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