Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010
Richard Burdekin () and
Pierre Siklos ()
No 232011, Working Papers from Hong Kong Institute for Monetary Research
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 a meaningful level of integration with other regional and world markets in spite of ongoing capital controls.
Keywords: Stock Returns; Convergence; Crises; Asia-Pacific; China (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 35 pages
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-sea
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:hkm:wpaper:232011
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