Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets

Jing Chen, Roger Buckland and Julian Williams

Pacific-Basin Finance Journal, 2011, vol. 19, issue 4, 351-373

Abstract: We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B and the Hong Kong share markets. We utilize a robustly estimated vector error correction model with multivariate generalized autoregressive conditionally heteroscedasticity (VECM-MV-GARCH) model to test for possible cointegrating vectors between the market segmentations pre and post deregulation of the Chinese B share market. Our results suggest that before deregulation there is weak evidence of cointegration between the A and B share markets. However, post deregulation the situation changes and the segments appear to be significantly cointegrated. MV-GARCH results suggest that the conditional correlations of market/sector shocks also increase significantly over the sample period.

Keywords: Chinese; equity; markets; Segmentation; Cointegration; Spillover (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:19:y:2011:i:4:p:351-373

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