Title

Financial integration of Chinese markets after WTO accession and financial liberalization

RIS ID

25646

Publication Details

Tian, G. G. (2008). Financial integration of Chinese markets after WTO accession and financial liberalization. PBFEAM 2008: 16th Annual Conference on Pacific Basin Finance Economics Accounting Management (p. [22]). Brisbane, Queensland: Queensland University of Technology.

Abstract

This paper examines the cointegrating and long-term causal relationships among stock markets in the greater China region and the US and Japanese markets. To improve the quality of empirical results from the application of recently developed cointegration and level causality testing techniques in VAR, we used both the US dollar and local currencies as the term unit for share index prices and properly adjusted times for stock indices in different time zones. Our results suggest that a long-term equilibrium relationship measured by cointegration has been established among the Chinese, Hong Kong and Taiwanese markets as well as the US and Japanese markets. We also found that in addition to the existence of a long-term causal relationship existing between these two mainland Chinese markets, there is also some evidence that the Chinese markets are influenced by other markets including the US and Hong Kong.

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