TY - JOUR
T1 - The dynamic relationship between stock returns and market turnover : evidence from Shanghai, Shenzhen and Hong Kong
AU - Groenewold, Nicolaas
AU - Tang, Sam
AU - Wu, Yanrui
PY - 2003
Y1 - 2003
N2 - This paper investigates the dynamic relationship between stock returns and market turnover for the Chinese and Hong Kong stock markets. The study finds strong evidence of a contemporaneous V-shaped relationship between stock returns and market turnover for all markets. There appear to be few direct links between Hong Kong and the Chinese markets. In contrast with the existing literature, however, there is evidence of substantial indirect one-way spillovers from Hong Kong to the Chinese markets.
AB - This paper investigates the dynamic relationship between stock returns and market turnover for the Chinese and Hong Kong stock markets. The study finds strong evidence of a contemporaneous V-shaped relationship between stock returns and market turnover for all markets. There appear to be few direct links between Hong Kong and the Chinese markets. In contrast with the existing literature, however, there is evidence of substantial indirect one-way spillovers from Hong Kong to the Chinese markets.
M3 - Article
SN - 1326-8481
VL - 7
SP - 18
EP - 41
JO - Asia Pacific Journal of Economics and Business
JF - Asia Pacific Journal of Economics and Business
IS - 1
ER -