IDEAS home Printed from https://ideas.repec.org/a/taf/rjapxx/v15y2010i4p388-395.html
   My bibliography  Save this article

Bank share prices and stock market integration in Greater China

Author

Listed:
  • Shujie Yao
  • Dan Luo
  • Stephen Morgan

Abstract

This paper empirically analyzes the relationship between the Shanghai Stock Exchange (SSE) Composite Index and the indexes of 10 Chinese listed banks. In particular, we try to test whether the listing of these banks has played a role in leading the Chinese stock market boom during 2007. Using daily prices from 1 June 2006 to 15 November 2007, we found that a unidirectional causality relationship existed either way between most bank stock prices and the market index while the bidirectional relationship only identified among five of the ten banks. We also observed that the market indexes of SSE, Hong Kong and Taiwan followed a similar trend, indicating a possible cointegration of the Greater China stock markets, which was in part driven by the listing of Chinese banks.

Suggested Citation

  • Shujie Yao & Dan Luo & Stephen Morgan, 2010. "Bank share prices and stock market integration in Greater China," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 15(4), pages 388-395.
    • Handle: RePEc:taf:rjapxx:v:15:y:2010:i:4:p:388-395
    DOI: 10.1080/13547860.2010.516152
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13547860.2010.516152
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13547860.2010.516152?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shujie Yao & Zhongwei Han & Genfu Feng, 2008. "Ownership Reform, Foreign Competition, and Efficiency of Chinese Commercial Banks: A Non-Parametric Approach," WIDER Working Paper Series RP2008-38, World Institute for Development Economic Research (UNU-WIDER).
    2. Shujie Yao & Zhongwei Han & Genfu Feng, 2008. "Ownership Reform, Foreign Competition and Efficiency of Chinese Commercial Banks: A Non‐parametric Approach," The World Economy, Wiley Blackwell, vol. 31(10), pages 1310-1326, October.
    3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shujie Yao & Dan Luo & Stephen Morgan, 2008. "Shanghai Stock Exchange Composite Index and Bank Stock Prices in China: A Causality Analysis," Discussion Papers 08/25, University of Nottingham, GEP.
    2. Worthington, Andrew C. & Zelenyuk, Valentin, 2018. "Data envelopment analysis, truncated regression and double-bootstrap for panel data with application to Chinese bankingAuthor-Name: Du, Kai," European Journal of Operational Research, Elsevier, vol. 265(2), pages 748-764.
    3. Huang, Tai-Hsin & Lin, Chung-I & Chen, Kuan-Chen, 2017. "Evaluating efficiencies of Chinese commercial banks in the context of stochastic multistage technologies," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 93-110.
    4. Roger Frantz, 2017. "Rationality, globalization, and X-efficiency among fi nancial institutions," Chapters, in: Morris Altman (ed.), Handbook of Behavioural Economics and Smart Decision-Making, chapter 15, pages 275-289, Edward Elgar Publishing.
    5. Sickles, Robin C. & Song, Wonho & Zelenyuk, Valentin, 2018. "Econometric Analysis of Productivity: Theory and Implementation in R," Working Papers 18-008, Rice University, Department of Economics.
    6. Md. Jahir Uddin Palas & Fernando Moreira, 2022. "The impact of government assistance on banks' efficiency," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1731-1748, April.
    7. Meehyang Chang & Han-Byeol Jang & Yi-Mei Li & Daecheol Kim, 2017. "The Relationship between the Efficiency, Service Quality and Customer Satisfaction for State-Owned Commercial Banks in China," Sustainability, MDPI, vol. 9(12), pages 1-15, November.
    8. Ramiz ur Rehman & Junrui Zhang & Muhammad Akram Naseem & Muhammad Ishfaq Ahmed & Rizwan Ali, 2021. "Board independence and Chinese banking efficiency: a moderating role of ownership restructuring," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 517-536, September.
    9. Paul W. Wilson & Shirong Zhao, 2023. "Investigating the performance of Chinese banks over 2007–2014," Annals of Operations Research, Springer, vol. 321(1), pages 663-692, February.
    10. Bhabani Shankar Nayak & Yilin Gao, 2018. "Role of State in the Evolution and Success of Commercial Banks in China," Research in World Economy, Research in World Economy, Sciedu Press, vol. 9(2), pages 38-43, June.
    11. El Moussawi, Chawki & Mansour, Rana, 2022. "Competition, cost efficiency and stability of banks in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 143-170.
    12. Jiang, Chunxia & Yao, Shujie & Zhang, Zongyi, 2009. "The effects of governance changes on bank efficiency in China: A stochastic distance function approach," China Economic Review, Elsevier, vol. 20(4), pages 717-731, December.
    13. Matthews, Kent & Xiao, Zhiguo, 2020. "Rational cost inefficiency and convergence in Chinese banks," Economic Modelling, Elsevier, vol. 91(C), pages 696-704.
    14. Qingxian An & Xuyang Liu & Yongli Li & Beibei Xiong, 2019. "Resource planning of Chinese commercial banking systems using two-stage inverse data envelopment analysis with undesirable outputs," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-20, June.
    15. Kent Matthews & Zhiguo Xiao & Xu Zhang, 2009. "Rational Cost Inefficiency in Chinese Banks," Working Papers 292009, Hong Kong Institute for Monetary Research.
    16. Ikram Ullah Khan & Sadaqat Ali & Habib Nawaz Khan, 2018. "Market Concentration, Risk-taking, and Efficiency of Commercial Banks in Pakistan: An Application of the Two-Stage Double Bootstrap DEA," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 65-96, June.
    17. Bing Xu & Adrian Van Rixtel & Michiel Van Leuvensteijn, 2013. "Measuring bank competition in China: a comparison of new versus conventional approaches applied to loan markets," BIS Working Papers 422, Bank for International Settlements.
    18. Suvash Khanal & Bharat P. Bhatta, 2017. "Evaluating Efficiency of Personnel in Nepalese Commercial Banks," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(4), pages 379-394, November.
    19. Sulaeman Rahman Nidar & Mokhamad Anwar & Ratna Komara & Layyinaturrobaniyah Layyinaturrobaniyah, 2020. "Determinant of regional development bank efficiency for their sustainability issues," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(1), pages 1133-1145, September.
    20. Kai Du & Andrew C. Worthington & Valentin Zelenyuk, 2015. "The dynamic relationship between bank asset diversification and efficiency: Evidence from the Chinese banking sector," CEPA Working Papers Series WP122015, School of Economics, University of Queensland, Australia.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rjapxx:v:15:y:2010:i:4:p:388-395. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rjap .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.