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Are there Spillover Effects from Hong Kong and the United States to Chinese Stock Markets?

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Abstract

Stock 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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  • Katharina Diekmann, 2011. "Are there Spillover Effects from Hong Kong and the United States to Chinese Stock Markets?," IEER Working Papers 89, Institute of Empirical Economic Research, Osnabrueck University.
    • Handle: RePEc:iee:wpaper:wp0089
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    More about this item

    Keywords

    Chinese Stock Market Integration; Spillover Effects; Causality-in-Variance;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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