An empirical study of the asymmetric cointegration relationships among the Chinese stock markets

Applied Economics

Volumn 39, Issue 11, 2007, Pages 1433-1445

  Shen, Chung Hua ^a   Chen, Chien Fu ^b   Chen, Li Hsueh ^c  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

^b NATIONAL DONG HWA UNIVERSITY   (Taiwan)

^c CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; EMPIRICAL ANALYSIS; STOCK MARKET;

ASIA; CHINA; EURASIA; FAR EAST; GUANGDONG; SHANGHAI; SHENZHEN;

EID: 34447311347     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840600606302     Document Type: Article

References (37)

1. Abdulai, A. (2002) Using threshold cointegration to estimate asymmetric price transmission in the Swiss pork market. Applied Economics, 34, pp. 679-687.
2. Anderson, HM (1997) Transaction costs and nonlinear adjustment towards equilibrium in the US treasury bill market. Oxford Bulletin of Economics and Statistics, 59, pp. 465-484.
3. Andrews, D. and Ploberger, W. (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica, 62, pp. 1183-1414.
4. Ansotegui, C. and Esteban, MV (2002) Cointegration for market forecast in the Spanish stock market. Applied Economics, 34, pp. 843-857.
5. Bailey, W. (1994) Risk and return on China's new stock markets: Some preliminary evidence. Pacific-Basin Finance Journal, 2, pp. 243-260.
6. Balke, NS and Fomby, TB (1997) Threshold cointegration. International Economic Review, 38, pp. 627-645.
7. Chan, KC, Cheng, TW and Fung, KW (2001) Ownership restrictions and stock-price behaviour in China. The Chinese Economy, 34, pp. 29-48.
8. Chiang, M-H (2001) The asymmetric behaviour and spillover effects on stock index returns: Evidence on Hong Kong and China. PanPacific Management Review, 4, pp. 1-21.
9. Chui, A. and Kwok, C. (1998) Cross-autocorrelation between A shares and B shares in the Chinese stock market. Journal of Financial Research, 21, pp. 333-335.
10. Enders, W. and Chumrusphonlert, K. (2004) Threshold cointegration and purchasing power parity in the pacific nations. Applied Economics, 36, pp. 889-896.
11. Enders, W. and Granger, CW (1998) Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistics, 16, pp. 304-311.
12. Enders, W. and Siklos, PL (2001) Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 29, pp. 166-176.
13. Engle, R. and Granger, CW (1987) Cointegration and error correction: representation, estimation, and testing. Econometrica, 55, pp. 251-276.
14. Engle, R. and Yoo, S. (1991) Forecasting and testing in co-integration systems. Long-run Economic Relationships, pp. 113-129. Oxford University Press, Oxford
15. Escribano, A. and Pfann, GA (1998) Nonlinear error correction, asymmetric adjustment and cointegration. Economic Modelling, 15, pp. 197-216.
16. Fernández-Serrano, JL and Sosvilla-Rivero, S. (2003) Modelling the linkage between US and Latin American stock markets. Applied Economics, 35, pp. 1423-1434.
17. Fung, HG, Lee, W. and Leung, WK (2000) Segmentation of the A- and B-share Chinese equity markets. Journal of Financial Research, 23, pp. 179-195.
18. Fung, HG and Leung, WK (2001) Chinese financial liberalization. The Chinese Economy, 34, pp. 5-14.
19. Granger, CW and Lee, TH (1989) Investigation of production, sales, and inventory relationships using multicointegration and nonsymmetric error-correction models. Journal of Applied Econometrics, 4, p. S145.
20. Hansen, B. (1996) Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica, 64, pp. 413-430.
21. Huang, B-N, Yang, C-W and Hu, W-S (2000) Causality and cointegration of stock markets among the United States, Japan, and the South China growth triangle. International Review of Financial Analysis, 9, pp. 281-297.
22. Koutmos, G. (1998) Asymmetries in the conditional mean and the conditional variance: Evidence from nine stock markets. Journal of Economics and Business, 50, pp. 277-290.
23. Laurence, M., Cai, F. and Qian, S. (1997) Weak-form efficiency and causality tests in Chinese stock markets. Multinational Finance Journal, 1, pp. 291-307.
24. Li, WK and Lam, K. (1995) Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model. The Statistician, 44, pp. 333-341.
25. Liu, X., Song, H. and Romilly, P. (1997) Are Chinese stock markets efficient? A cointegration and causality analysis. Applied Economics Letters, 4, pp. 511-515.
26. (1996) Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market. Pacific-Basin Finance Journal, 4, pp. 219-239.
27. Márquez, M. and Villazón, C. (1999) The asymmetry of IBEX-35 returns with TAR models, Universitat Autónoma de Barcelona
28. Poon, W., Firth, M. and Fung, HG (1998) Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies. Pacific-Basin Finance Journal, 6, pp. 307-319.
29. Sarantis, N. (2001) Nonlinearities, cyclical behaviour and predictability in stock markets: International evidence. International Journal of Forecasting, 17, pp. 459-482.
30. Siklos, P. and Granger, CW (1997) Regime-sensitive cointegration with an application to interest rate parity. Macroeconomic Dynamics, 3, pp. 640-657.
31. Sjöö, B. and Zhang, J. (2000) Market segmentation and information diffusion in China's stock markets. Journal of Multinational Financial Management, 10, pp. 421-438.
32. Stock, J. (1987) Asymptotic properties of least-squares estimators of cointegrating vectors. Econometrica, 55, pp. 1035-1056.
33. Fleisher, BM (1997) Risk, return and regulation in Chinese stock markets. Journal of Economics and Business, 50, pp. 239-256.
34. Taylor, MP and Tonks, I. (1989) The internationalization of stock markets and the abolition of UK exchange control. Reviews of Economics and Statistics, 71, pp. 332-336.
35. Tong, H. (1983) Threshold Models in Nonlinear Time Series Analysis, Springer-Verlag, New York
36. Tong, H. (1990) NonLinear Times Series: A Dynamical Approach, Oxford University Press, Oxford, UK
37. World Bank (1995) China - The emerging capital market.