Jardine Matheson Group's Delisting from the Stock Exchange of Hong Kong: Evidence on International Market Integration/Segmentation

Andrew Carverhill () and Alex W. H. Chan ()
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Andrew Carverhill: School of Business, The University of Hong Kong, Pokfulam Road, Hong Kong, China
Alex W. H. Chan: School of Economics and Finance, The University of Hong Kong, K. K. Leung Building, Pokfulam Road, Hong Kong, China

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, vol. 09, issue 02, 213-228

Abstract: In 1994–1995, Jardine Matheson Group delisted its five major group members from the Stock Exchange of Hong Kong, so that their trading was transferred to Singapore. We document that the trading volume of these five stocks fell after the delisting, and that they became less correlated with the Hong Kong market. We use a multivariate GARCH framework, which also allows us to present the correlations dynamically. We argue that this is evidence in favor of international market segmentation, since the delisting was not associated with a change in the business strategy of the Group.

Keywords: International Market Integration; segmentation; correlation; GARCH; JEL Classification: G15 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0219091506000707

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