The dynamic interrelationships between the greater China share markets

Research output: Contribution to journalArticle

40 Citations (Scopus)

Abstract

This paper investigates the interrelationships between prices on the mainland Chinese share market and those in the neighbouring markets of Hong Kong and Taiwan. We find a strong contemporaneous relationship between the two mainland markets but that the mainland markets are relatively isolated from the other two markets considered, although after the Asian crisis, there is evidence that Hong Kong has weak predictive power for returns in the mainland. Hong Kong also clearly Granger-causes Taiwan although the reverse is not true. Both Hong Kong and Taiwan have strong contemporaneous relationships, a feature that is more marked after the Asian crisis. (C) 2003 Elsevier Inc. All rights reserved.
Original languageEnglish
Pages (from-to)45-62
JournalChina Economic Review
Volume15
Issue number1
DOIs
Publication statusPublished - 2004

Fingerprint

Greater China
Interrelationship
Market share
Hong Kong
Taiwan
Asian crisis
Predictive power

Cite this

@article{bf72dc6b89254a1f966c9573d2a79de1,
title = "The dynamic interrelationships between the greater China share markets",
abstract = "This paper investigates the interrelationships between prices on the mainland Chinese share market and those in the neighbouring markets of Hong Kong and Taiwan. We find a strong contemporaneous relationship between the two mainland markets but that the mainland markets are relatively isolated from the other two markets considered, although after the Asian crisis, there is evidence that Hong Kong has weak predictive power for returns in the mainland. Hong Kong also clearly Granger-causes Taiwan although the reverse is not true. Both Hong Kong and Taiwan have strong contemporaneous relationships, a feature that is more marked after the Asian crisis. (C) 2003 Elsevier Inc. All rights reserved.",
author = "Nicolaas Groenewold and Sam Tang and Yanrui Wu",
year = "2004",
doi = "10.1016/S1043-951X(03)00029-4",
language = "English",
volume = "15",
pages = "45--62",
journal = "China Economic Review (Amsterdam)",
issn = "1043-951X",
publisher = "Academic Press",
number = "1",

}

The dynamic interrelationships between the greater China share markets. / Groenewold, Nicolaas; Tang, Sam; Wu, Yanrui.

In: China Economic Review, Vol. 15, No. 1, 2004, p. 45-62.

Research output: Contribution to journalArticle

TY - JOUR

T1 - The dynamic interrelationships between the greater China share markets

AU - Groenewold, Nicolaas

AU - Tang, Sam

AU - Wu, Yanrui

PY - 2004

Y1 - 2004

N2 - This paper investigates the interrelationships between prices on the mainland Chinese share market and those in the neighbouring markets of Hong Kong and Taiwan. We find a strong contemporaneous relationship between the two mainland markets but that the mainland markets are relatively isolated from the other two markets considered, although after the Asian crisis, there is evidence that Hong Kong has weak predictive power for returns in the mainland. Hong Kong also clearly Granger-causes Taiwan although the reverse is not true. Both Hong Kong and Taiwan have strong contemporaneous relationships, a feature that is more marked after the Asian crisis. (C) 2003 Elsevier Inc. All rights reserved.

AB - This paper investigates the interrelationships between prices on the mainland Chinese share market and those in the neighbouring markets of Hong Kong and Taiwan. We find a strong contemporaneous relationship between the two mainland markets but that the mainland markets are relatively isolated from the other two markets considered, although after the Asian crisis, there is evidence that Hong Kong has weak predictive power for returns in the mainland. Hong Kong also clearly Granger-causes Taiwan although the reverse is not true. Both Hong Kong and Taiwan have strong contemporaneous relationships, a feature that is more marked after the Asian crisis. (C) 2003 Elsevier Inc. All rights reserved.

U2 - 10.1016/S1043-951X(03)00029-4

DO - 10.1016/S1043-951X(03)00029-4

M3 - Article

VL - 15

SP - 45

EP - 62

JO - China Economic Review (Amsterdam)

JF - China Economic Review (Amsterdam)

SN - 1043-951X

IS - 1

ER -