Are there Spillover Effects from Hong Kong and the United States to Chinese Stock Markets?
AbstractStock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causality-in-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial index. We find evidence of global and regional integration, but we do not find evidence for increasing integration after stock market liberalization, neither with Hong Kong nor with the United States.
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Bibliographic InfoPaper provided by Institute of Empirical Economic Research in its series Working Papers with number 89.
Date of creation: 12 Dec 2011
Date of revision:
Chinese Stock Market Integration; Spillover Effects; Causality-in-Variance;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-TRA-2011-12-19 (Transition Economics)
- NEP-URE-2011-12-19 (Urban & Real Estate Economics)
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