The dynamic interrelationships between the greater China share markets

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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

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