Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010

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...

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Bibliographic Details
Published in:Pacific-Basin finance journal 2012-06, Vol.20 (3), p.521-541
Main Authors: Burdekin, Richard C.K., Siklos, Pierre L.
Format: Article
Language:English
Subjects:
Asia-Pacific
China
Convergence
Crises
Stock returns
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Summary: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 by a meaningful level of integration with other regional and world markets in spite of ongoing capital controls. ► Asia-Pacific Equity market integration. ► Dynamic Conditional Correlations and Contagion. ► Quantile Cointegration. ► Rising Shaghai market integration with Asia-Pacific. ► Decoupling of US Equity Markets from Asia-Pacific.
ISSN:0927-538X
1879-0585
DOI:10.1016/j.pacfin.2011.12.004