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Title: A New Revisit Evidence of Stock Markets' Interrelationships in the Greater China
Authors: Lin,Chu-Chia;Fang,Chung-rou;Cheng,Hui-Pei
Contributors: 政大經濟系
Keywords: China Stock Market;Greater China;Financial Integration;Global Financial Crisis
Date: 2011-09
Issue Date: 2013-09-16 16:08:51 (UTC+8)
Abstract: This paper investigates the recent stock markets’ interrelationships in Greater China (China, Hong Kong, and Taiwan). The main goal is to use more detailed and new daily stock market data from 2005/7 to 2010/5 to offer valuable and complementary insights on financial integration among these economies. From the empirical analysis, we found that China’s stock market has a positive impact on the other Greater China economies, but the reverse is not true. In addition, Hong Kong’s stock market also has a significantly positive impact on Taiwan, but not on China, and the impact of Hong Kong on Taiwan is larger than that of China on Taiwan. This result is consistent with the previous empirical findings that the segmented and integrated China stock market is mixed, and this result implies that the China stock market is still “partially integrated” with the other Greater China stock markets after the 2008 global financial crisis.
Relation: Modern Economy, 2011(2), 561-568
Data Type: article
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