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Title:Are there spillover effects from Hong Kong and the United States to Chinese stock markets PDF Logo
Authors:Diekmann, Katharina
Issue Date:2011
Series/Report no.:Working Paper, Institute of Empirical Economic Research, University of Osnabrück 89
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
Appears in Collections:Working Papers, Institut für Empirische Wirtschaftsforschung, Universität Osnabrück

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