Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66519 
Year of Publication: 
2011
Series/Report no.: 
Working Paper No. 89
Publisher: 
Osnabrück University, Institute of Empirical Economic Research, Osnabrück
Abstract: 
Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-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.
Subjects: 
Chinese stock market integration
spillover effects
causality-in-variance
JEL: 
C23
G10
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
464.09 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.