An analysis of dynamic risk in the Greater China equity markets
Anders Johansson ()
Journal of Chinese Economic and Business Studies, 2009, vol. 7, issue 3, 299-320
This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and Shenzhen markets both have a low average systematic risk when measured against the world market. The short outbursts in systematic risk for these two markets seem to be directly related to policy shifts. The Hong Kong and Taiwan markets are more integrated with world markets and they show signs of large variations in systematic risk over time. Furthermore, conditional betas in the Shanghai and Shenzhen markets are stationary, while the Hong Kong and Taiwan betas are integrated of order one. In addition, long memory tests show that all four markets exhibit a long-run dependence in their conditional betas. While the two mainland China market betas are covariance stationary, the Hong Kong and Taiwan betas are not.
Keywords: Greater China; time-varying beta; multivariate GARCH; unit roots; long memory (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: AN ANALYSIS OF DYNAMIC RISK IN THE GREATER CHINA EQUITY MARKETS (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:jocebs:v:7:y:2009:i:3:p:299-320
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Chinese Economic and Business Studies is currently edited by Professor Xiaming Liu
More articles in Journal of Chinese Economic and Business Studies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().