Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/13700
Title: The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies
Authors: YUAN YING
Keywords: Cointegration; Integration of Capital Markets; Fractional Cointegration; Granger Causality
Issue Date: 28-Feb-2004
Source: YUAN YING (2004-02-28). The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies. ScholarBank@NUS Repository.
Abstract: In this paper, we use cointegration analysis and Granger causality technique to test the long-run equilibrium relations and causal relations between China, US, UK, Japan, Hong Kong, Taiwan and Singapore stock markets. The results show that China stock market is segmented globally, but appears integrated within the region before 1997. While, after 1997 the results report that China stock market has cointegration (long-run equilibrium relationship) with all the other six markets at 5% significant level. Our empirical results suggest that Chinese economy has been integrated into the global economy gradually companied by the financial integration into the world capital markets and the significant price co-movements of national stock markets could be related to geographical proximity, partnerships in trade, and cultural similarity.
URI: http://scholarbank.nus.edu.sg/handle/10635/13700
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Integration_of_Capital_Markets.pdf511.19 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

441
checked on Dec 11, 2017

Download(s)

609
checked on Dec 11, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.