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Equity market price interactions between China and the other markets within the Chinese states equity markets

Tian, Gary Gang 2008, Equity market price interactions between China and the other markets within the Chinese states equity markets, Multinational finance journal, vol. 12, no. 1/2, pp. 105-126.

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Title Equity market price interactions between China and the other markets within the Chinese states equity markets
Author(s) Tian, Gary Gang
Journal name Multinational finance journal
Volume number 12
Issue number 1/2
Start page 105
End page 126
Total pages 22
Publisher Multinational Finance Society
Place of publication Camden, N.J.
Publication date 2008
ISSN 1096-1879
Keyword(s) international financial markets
casuality testing in VaRs with bootstrapping
cointegration
Summary This study examines the cointegrating and long-term causal relationships of equity market prices in equity markets of Chinese states namely, Shanghai, Shenzhen, Hong Kong, Taiwan and Singapore. I cover the period between October 5, 1992 and March 20, 2006, taking into account both the Asian financial crisis and the opening-up of China’s equity markets in recent years. First, I analysis the cointegration by utilizing Johansen’s (1988) cointegration tests. I find that a long-term equilibrium relationship measured by cointegration has been established among Shanghai, Shenzhen, Hong Kong and Taiwanese markets and, to a lesser degree, between these markets and the Singapore market since 1998. Secondly, this study examines causality by exploring the bootstrapped Toda-Yamamoto non-causality tests. I find that there is strong evidence of a bi-directional causality between Shanghai and Shenzhen markets after 1998. Furthermore, I also find that there are more causal linkages between the Chinese states equity markets: two mainland Chinese markets, Hong Kong, Taiwan, and Singapore became more dependent on each other. The robustness of the above findings is confirmed by the use of a bootstrap test employed to test the validity of my results.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900101 Finance Services
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078314

Document type: Journal Article
Collection: Department of Finance
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