Interactions of stock markets in the Greater China area

Ai-Chi Hsu, Shih-Jui Yang, Show-Yen Lai
2009 Investment Management & Financial Innovations  
This article examines the causality and cointegration relationship of the Greater China area stock markets. Yeh and Lee (2000) had examined the information transmission of contemporaneous and cross-period by exploring the interaction of unexpected returns within the Greater China area. We also check whether there exists a structural break during sample time. Many articles mentioned Hong Kong stock market played a very important role in the Greater China area before Asia financial crisis. This
more » ... cial crisis. This paper proves China stock market has gained a leading position in the Greater China area gradually after Asia financial crisis.
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