A New Revisit Evidence of Stock Markets’ Interrelationships in the Greater China
Chu-Chia Lin, Chung-Rou Fang, Hui-Pei Cheng
DOI: 10.4236/me.2011.24062   PDF   HTML     4,617 Downloads   8,075 Views   Citations


This paper investigates the recent stock markets’ interrelationships in Greater China (China, Hong Kong, and Taiwan). The main goal is to use more detailed and new daily stock market data from 2005/7 to 2010/5 to offer valuable and complementary insights on financial integration among these economies. From the empirical analysis, we found that China’s stock market has a positive impact on the other Greater China economies, but the reverse is not true. In addition, Hong Kong’s stock market also has a significantly positive impact on Taiwan, but not on China, and the impact of Hong Kong on Taiwan is larger than that of China on Taiwan. This result is consistent with the previous empirical findings that the segmented and integrated China stock market is mixed, and this result implies that the China stock market is still “partially integrated” with the other Greater China stock markets after the 2008 global financial crisis.

Share and Cite:

C. Lin, C. Fang and H. Cheng, "A New Revisit Evidence of Stock Markets’ Interrelationships in the Greater China," Modern Economy, Vol. 2 No. 4, 2011, pp. 561-568. doi: 10.4236/me.2011.24062.

Conflicts of Interest

The authors declare no conflicts of interest.


[1] B. Jiang, J. Laurenceson and K. K. Tang, “Share Reform and the Performance of China’s Listed Companies,” China Economic Review, Vol. 19, No. 3, 2008, pp. 489- 501.
[2] Y. H. Yeh and T. S. Lee, “The Interaction and Volatility Asymmetry of Unexpected Return in the Greater China Stock Markets,” Global Finance Journal, Vol. 11, No. 1, 2000, pp. 129-149.
[3] N, S. Groenewold, H. K. Tang and Y. Wu, “The Dynamic Interrelationships between the Greater China Share Markets,” China Economic Review, Vol. 15, No. 1, 2004, pp. 45-62.
[4] E. Girardin and Z. Liu, “The Financial Integration of China: New Evidence on Temporally Aggregated Data for the A-Share Market,” China Economic Review, Vol. 18, No. 3, 2007, pp. 354-371.
[5] Y. Wang and A. D. Iorio, “Are the China-Related Stock Markets Segmented with Both World and Regional Stock Markets?” Journal of International Financial Markets Institutions and Money, Vol. 17, No. 3, 2007, pp. 277- 290.
[6] A. Hatemi-J. and E. D. Roca, “Do Birds of the Same Feather Flock Together? The Case of the Chinese States Equity Markets?” Journal of International Financial Markets Institutions and Money, Vol. 14, No. 3, 2004, pp. 281-294.
[7] A. C. Johansson and C. Ljungwall, “Spillover Effects Among the Greater China Stock Markets,” World Development, Vol. 37, No. 4, 2009, pp. 839-851.
[8] W. S. J. Hu, M. Y. Chen, R. C. W. Fok and B. N. Huang, “Causality in Violating Spillover Effects between US, Japan and Four Equity markets in the South China Growth Triangular,” Journal of International Financial Markets Institutions and Money, Vol. 7, No. 4, 1997, pp. 351-367.
[9] B. N. Huang, C. W. Yang and J. W. S. Hu, “Causality and Cointegration of Stock Markets Among the South China Growth Triangle,” International Review of Financial Analysis, Vol. 9, No. 3, 2000, pp. 281-297.
[10] Y. W. Cheung, M. D., Chinn and E. Fujii, “China, Hong Kong, and Taiwan- A Quantitative Assessment of Real and Financial Integration,” China Economic Review, Vol. 14, No. 3, 2003, pp. 281-303.
[11] S. S. Wang and M. Firth, “Do Bears and Bulls Swim across Ocean? Market Information Transmission between Greater China and the Rest of the World,” Journal of International Financial Markets Institutions and Money, Vol. 14, No. 3, 2004, pp. 235-254.
[12] H. Cheng and J. L. Glascock, “Dynamic Linkages Between the Greater China Economic Area Stock Markets-Mainland China, Hong Kong, and Taiwan,” Review of Quantitative Finance and Accounting , Vol. 24, No. 4, 2005, pp. 343-357.
[13] G. G. Tian, “Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?” Australian Economic Papers, Vol. 46, No. 3, 2007, pp. 240-253.
[14] N. Huyghebaert and L. Wang, “The Co-movement of Stock Markets in East Asia: did the 1997-1998 Asian Financial Crisis Really Strengthen Stock Market Integration?” China Economic Review, Vol. 21, No. 1, 2010, pp. 98-112.
[15] A. R. Chowdhury, “Stock Market Interdependencies: Evidence from the Asian NIEs,” Journal of Macroeconomics, Vol. 16, No. 4, 1994, pp. 629-651.
[16] C. E. Chang, G. R. McQeen, and J. M. Pinegar, “Cross-autocorrelation in Asia Stock Markets,” Pacific— Basin Finance Journal, Vol. 7, No. 5, 1999, pp. 471-493.
[17] C. M. Reinhart and R. R. Reinhart, “On the Use of Reserve Requirements in Dealing with Capital Flow Problems,” International Journal of Finance and Economics, Vol. 4, No. 1, 1999, pp. 27-54.
[18] T. D. Willett, M. W. Keil and Y. S. Ahn, “Capital Mobility for Developing Countries Is Not Be so High,” Journal of Development Economics, Vol. 68, No. 2, 2002, pp. 421-434.
[19] L. Alfaro, “Capital Controls: a Political Economy Approach,” Review of International Economics, Vol. 12, No. 4, 2004, pp. 571-590.
[20] L Sun, “Measuring Time-Varying Capital Mobility in East Asia,” China Economic Review, Vol. 15, No. 3, 2004, pp. 281-291.
[21] S. Kim, S. H. Kim and Y. Wang, “Saving, Investment and International Capital Mobility in East Asia,” Japan and the World Economy, Vol. 19, No. 2, 2007, pp. 279- 291.
[22] F. Guo and Y. S. Huang, “Does ‘Hot Money’ Drive China’s Real Estate and Stock Markets?” International Review of Economics and Finance, Vol. 19, No. 3, 2010, pp. 452-466.
[23] D. A. Dickey and W. A. Fuller, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol. 74, No. 366, 1979, pp. 427-431.
[24] H. Akaike , “A New Look at the Statistical Model Identification,” IEEE Transactions on Automatic Control, Vol. 19, No. 6, 1974, pp. 716-723.
[25] R. F. Engle and C. W. J. Granger, “Co-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, Vol. 55, No. 2, 1987, pp. 251-276.
[26] S. S. Wang and L. Jiang, “Local of Trade, Ownership Restraints, and Market Illiquidity: Examining Chinese A- and H-shares,” Journal of Banking and Finance, Vol. 28, No. 6, 2004, pp. 1273-1297.

Copyright © 2021 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.