Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010
Richard Burdekin and
CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
This paper applies a variety of short-run and long-run time series techniques to data on a broad group of Asia-Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia-Pacific region and offers some support for contagion effects. Post-Asian financial crisis quantile regressions yield substantial evidence of long-run linkages between the Shanghai market, the US market and many regional exchanges. Cointegration is particularly prevalent at the higher end of the distribution. Our results suggest that the enormous growth of the Shanghai market in the new millennium has been accompanied by a meaningful level of integration with other regional and world markets in spite of ongoing capital controls.
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 37 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... ekin_siklos_2011.pdf (application/pdf)
Journal Article: Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010 (2012)
Working Paper: Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010 (2011)
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:een:camaaa:2011-35
Access Statistics for this paper
More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().