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Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets

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  • Chen, Jing
  • Buckland, Roger
  • Williams, Julian

Abstract

We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B and the Hong Kong share markets. We utilize a robustly estimated vector error correction model with multivariate generalized autoregressive conditionally heteroscedasticity (VECM-MV-GARCH) model to test for possible cointegrating vectors between the market segmentations pre and post deregulation of the Chinese B share market. Our results suggest that before deregulation there is weak evidence of cointegration between the A and B share markets. However, post deregulation the situation changes and the segments appear to be significantly cointegrated. MV-GARCH results suggest that the conditional correlations of market/sector shocks also increase significantly over the sample period.

Suggested Citation

  • Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 351-373, September.
  • Handle: RePEc:eee:pacfin:v:19:y:2011:i:4:p:351-373
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    2. Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
    3. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
      [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]
      ," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
    4. Hou, Ai Jun, 2013. "Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 12-32.

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