The Changing Return Dynamics of the Hang Seng and the Shanghai Composite Indices.
##plugins.themes.bootstrap3.article.main##
##plugins.themes.bootstrap3.article.sidebar##
Published
Mar 1, 2008
Abstract
Diversification benefits to international investors depend fundamentally on the dynamic correlations of returns between market indices. The relationship between the Hang Seng and Shanghai Composite indices are analyzed in this research for the period before, during and after the 1997 British handover of Hong Kong. Diversification benefits between the two markets are shown to have reduced after the 1997 handover. A further series econometric analysis of the joint dynamics of these two markets shows an increasingly important role of the Shanghai Composite Index, particularly after 1999. The results of this research clearly demonstrate that diversification benefits have diminished between these two markets following the 1997 handover.
Metrics
Metrics Loading ...
##plugins.themes.bootstrap3.article.details##
Keywords
Changing Return Dynamics
References
• Newsletter of the Institute of Asian Research (1997), "Asian Pacific Report" University of British Columbia Vol. 21, No.2, 1997.
• Cheung, Y.L., Cheung, Y.W. and Ng K.C. (2002), "East Asian Equity Markets, Financial Crises, and the Japanese Currency". Working Paper presented at the International Conference on "Asian Crisis, IV: The Recovery and the Rest of the world", organized. by National Taiwan University, Taiwan, 24- 25 July 2002.
• Dickey, D.A. and Fuller, W.A. (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74, pp 427-437.
• Enders, Walter, (2004), Applied Econometric Time-Series. (John Wiley and Sons: New York) 1995. Second edition: 2004.
• Engle, R. F., and Granger, C. W. J., (1987), Co-integration and error-correction: Representation, estimation and testing, Econometrica 55,251-276.
• Fernandez-Serrano, J.L. and Sosvilla-Rivero, S. (2001), "Modeling Evolving Long-run Relationships: The Linkages between Stock Markets in Asia", Japan and the World Economy, 13(2) pp 145-160.
• Griffith-Jones, S., (2004), "Asian Drivers: international financial and macro-economic implications globally and for developing countries", paper prepared for the First Asian Drivers' workshop at IDS, Sussex.
• International Finance Corporation (2000), Emerging Stock Markets Factbook, Washington.
• Jang, H.Y. and Sul, W.S. (2001), "The Asian Financial Crisis and the Co-movement of Asian Stock Markets", Journal of Asian Economics, 13, pp 94- 104.
• Maroney, Neal, Atsuyuki Naka, and Theresia Wansi. (2004), "Changing Risk, Return, and Leverage: The 1997 Asian Financial Crisis," Journal of Financial and Quantitative Analysis 39(1), pages 143-66.
• Moon, W.S. (2001), "Currency Crisis and Stock Market Integration: A Comparison of East Asian and European Experiences", Journal of International and Area Studies, 8, 1, pp 41-56.
• Obstfeld, Maurice, and Kenneth Rogoff, ( 1996), Foundations of lnternational Macroeconomics (Cambridge, MA: The MIT Press).
• Sheng, H.C. and Tu, A.H. (2002), "A Study of Cointegration and Variance Decomposition among National Equity Indices Before and During the Period of the Asian Financial Crisis", Journal of Multinational Financial Management, 10, pp 345-365.
• Solnik, B., (1974), "An Equilibrium Model of the International Capital Market", Journal of Economic Theory, 8, pp. 500-524.
• Sims, C., (1980), "Macroeconomics and Reality", Econometrica 8, 1-49.
• Yang, T. and Lim, J.J. (2002), "Crisis, Contagion, and East Asian Stock Markets", Working Paper Economics and Finance No 1, February 2002, Institute of South East Asian Studies, Singapore.
• Cheung, Y.L., Cheung, Y.W. and Ng K.C. (2002), "East Asian Equity Markets, Financial Crises, and the Japanese Currency". Working Paper presented at the International Conference on "Asian Crisis, IV: The Recovery and the Rest of the world", organized. by National Taiwan University, Taiwan, 24- 25 July 2002.
• Dickey, D.A. and Fuller, W.A. (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74, pp 427-437.
• Enders, Walter, (2004), Applied Econometric Time-Series. (John Wiley and Sons: New York) 1995. Second edition: 2004.
• Engle, R. F., and Granger, C. W. J., (1987), Co-integration and error-correction: Representation, estimation and testing, Econometrica 55,251-276.
• Fernandez-Serrano, J.L. and Sosvilla-Rivero, S. (2001), "Modeling Evolving Long-run Relationships: The Linkages between Stock Markets in Asia", Japan and the World Economy, 13(2) pp 145-160.
• Griffith-Jones, S., (2004), "Asian Drivers: international financial and macro-economic implications globally and for developing countries", paper prepared for the First Asian Drivers' workshop at IDS, Sussex.
• International Finance Corporation (2000), Emerging Stock Markets Factbook, Washington.
• Jang, H.Y. and Sul, W.S. (2001), "The Asian Financial Crisis and the Co-movement of Asian Stock Markets", Journal of Asian Economics, 13, pp 94- 104.
• Maroney, Neal, Atsuyuki Naka, and Theresia Wansi. (2004), "Changing Risk, Return, and Leverage: The 1997 Asian Financial Crisis," Journal of Financial and Quantitative Analysis 39(1), pages 143-66.
• Moon, W.S. (2001), "Currency Crisis and Stock Market Integration: A Comparison of East Asian and European Experiences", Journal of International and Area Studies, 8, 1, pp 41-56.
• Obstfeld, Maurice, and Kenneth Rogoff, ( 1996), Foundations of lnternational Macroeconomics (Cambridge, MA: The MIT Press).
• Sheng, H.C. and Tu, A.H. (2002), "A Study of Cointegration and Variance Decomposition among National Equity Indices Before and During the Period of the Asian Financial Crisis", Journal of Multinational Financial Management, 10, pp 345-365.
• Solnik, B., (1974), "An Equilibrium Model of the International Capital Market", Journal of Economic Theory, 8, pp. 500-524.
• Sims, C., (1980), "Macroeconomics and Reality", Econometrica 8, 1-49.
• Yang, T. and Lim, J.J. (2002), "Crisis, Contagion, and East Asian Stock Markets", Working Paper Economics and Finance No 1, February 2002, Institute of South East Asian Studies, Singapore.
How to Cite
French, Joseph J. 2008. “The Changing Return Dynamics of the Hang Seng and the Shanghai Composite Indices”. Studies in Business and Economics 14 (1). https://doi.org/10.29117/sbe.2008.0040.
Section
Articles