Spillover Effects Among the Greater China Stock Markets

Anders Johansson and Christer Ljungwall

World Development, 2009, vol. 37, issue 4, 839-851

Abstract: Summary This paper explores the linkages among the different stock markets in the Greater China region (China, Hong Kong, and Taiwan). The empirical findings show no indications of long-run relationships among the markets. There are, however, short-run spillover effects in both returns and volatility in the region. Both China and Hong Kong are affected by mean spillover effects from Taiwan. Volatility in the Hong Kong market spills over into Taiwan, which in turn affects the volatility in the Mainland China market. This means that the Mainland China market is related to other markets, even though the possibilities for outside investments have been limited until recently. Overall, the study shows significant interdependencies among the three markets, a result that has important implications for both policymakers and investors in the region.

Keywords: Asia; China; Taiwan; Hong; Kong; stock; markets; spillover; effects (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (64)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:wdevel:v:37:y:2009:i:4:p:839-851

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