AN ANALYSIS OF DYNAMIC RISK IN THE GREATER CHINA EQUITY MARKETS
Anders Johansson ()
No 2009-5, Working Paper Series from Stockholm School of Economics, China Economic Research Center
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: China; Taiwan; Hong Kong; time-varying beta; GARCH; unit roots; long memory (search for similar items in EconPapers)
JEL-codes: C32 G12 G15 (search for similar items in EconPapers)
Pages: 33 pages
New Economics Papers: this item is included in nep-cna and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Forthcoming in Journal of Chinese Economic and Business Studies.
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: 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:hhs:hacerc:2009-005
Access Statistics for this paper
More papers in Working Paper Series from Stockholm School of Economics, China Economic Research Center China Economic Research Center, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Malin Nilsson ( this e-mail address is bad, please contact ).