IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

An empirical study of the asymmetric cointegration relationships among the Chinese stock markets

Listed author(s):
  • Chung-Hua Shen
  • Chien-Fu Chen
  • Li-Hsueh Chen
Registered author(s):

    The Enders and Siklos asymmetric cointegration test is employed to examine the long-run asymmetric equilibrium relationships between the Chinese Shanghai and Shenzhen stock markets. Three samples are adopted, which are the whole sample (October 1992 to September 2002); the first subsample before B shares were opened up to the Chinese public (October 1992 to February 2001); and the second subsample after B shares were opened up (February 2001 to September 2002). The estimated results are as follows. First, when the conventional Engle-Granger symmetric cointegration test is used, only the A shares in Shanghai and Shenghen stock exchange market are cointegrated when using the whole sample and the first subsample. However, with the Enders-Siklos M-TAR asymmetric cointegration test, Shenzhen A and B shares stock prices have an asymmetric cointegration relationship after B shares were open, suggesting that openness increases the market efficiency. Furthermore, the two A shares in Shanghai and Shenzhen stock exchanges also have an asymmetric cointegration relationship in the whole sample and the first subsample, implying that although the asymmetric relationship is crucial, it has long been neglected. Finally, it is found that the adjustment speed of Shanghai A shares is faster when deviation from the long-run equilibrium is positive than when it is negative.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840600606302
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Economics.

    Volume (Year): 39 (2007)
    Issue (Month): 11 ()
    Pages: 1433-1445

    as
    in new window

    Handle: RePEc:taf:applec:v:39:y:2007:i:11:p:1433-1445
    DOI: 10.1080/00036840600606302
    Contact details of provider: Web page: http://www.tandfonline.com/RAEC20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAEC20

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:39:y:2007:i:11:p:1433-1445. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.