Capital market liberalization and equity market interdependence

Renee Fry-McKibbin and Ziyu Yan

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper uses tests drawn from the literature on financial market contagion measured by changes in higher-order comoments to establish the patterns in the interdependence between equity markets in Shanghai and Shenzhen with Hong Kong as mainland China liberalized their capital market. On the announcement of the opening of the Shanghai market correlations rise, but subside by the launch. Following the launch changes in coskewness, cokurtosis and covolatility emerge. The liberalization process is complete by mid-September 2016.

Keywords: Shanghai-Hong Kong Stock Connect; Shenzhen Hong-Kong Stock Connect; Contagion; Spillovers (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2020-05
New Economics Papers: this item is included in nep-cna, nep-fmk and nep-ore
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... mckibbin_yan_1_0.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-55

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 ().