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Do birds of the same feather flock together? : The case of the Chinese states equity markets
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- Hatemi-J, Abdulnasser (author)
- Högskolan i Skövde,Institutionen för teknik och samhälle
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- Roca, Eduardo (author)
- School of Accounting, Banking and Finance, Griffith University, Nathan, Australia
- (creator_code:org_t)
- Elsevier, 2004
- 2004
- English.
- In: Journal of international financial markets, institutions, and money. - : Elsevier. - 1042-4431 .- 1873-0612. ; 14:3, s. 281-294
- Journal article (peer-reviewed)
Abstract
Subject headings
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- We examine the equity market price interdependence between China, Hong Kong, Singapore, and Taiwan based on the [Journal of Econometrics 66 (1995) 225] causality test which we bootstrap with leveraged adjustments. A new information criterion is used to choose the optimal lag order. We cover the period January 1, 1993–September 10, 2001 taking into account the Asian financial crisis in 1997. We find that before the Asian crisis, the only interaction among the Chinese markets was between Singapore and the markets of Taiwan and Hong Kong with the causality running from the former to the latter. However, after the Asian crisis, the Chinese equity markets became more interdependent among themselves although Hong Kong remained non-influential.
Keyword
- Equity market integration
- Leveraged bootstrap
- Chinese equity markets
- Humanities and Social sciences
- Humaniora-samhällsvetenskap
Publication and Content Type
- ref (subject category)
- art (subject category)
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