Do birds of the same feather flock together? The case of the Chinese states equity markets

Abdulnasser Hatemi-J, Eduardo D. Roca

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)

Abstract

We examine the equity market price interdependence between China, Hong Kong, Singapore, and Taiwan based on the [Journal of Econometrics 66 (1995) 225] causality test which we bootstrap with leveraged adjustments. A new information criterion is used to choose the optimal lag order. We cover the period January 1, 1993-September 10, 2001 taking into account the Asian financial crisis in 1997. We find that before the Asian crisis, the only interaction among the Chinese markets was between Singapore and the markets of Taiwan and Hong Kong with the causality running from the former to the latter. However, after the Asian crisis, the Chinese equity markets became more interdependent among themselves although Hong Kong remained non-influential.

Original languageEnglish
Pages (from-to)281-294
Number of pages14
JournalJournal of International Financial Markets, Institutions and Money
Volume14
Issue number3
DOIs
Publication statusPublished - Jul 2004
Externally publishedYes

Keywords

  • Chinese equity markets
  • Equity market integration
  • Leveraged bootstrap

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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