Enter the Dragon: Interactions between Chinese, US and Asia‐Pacific Equity Markets, 1995‐2010

37 Pages Posted: 30 Jul 2011

See all articles by Richard C. K. Burdekin

Richard C. K. Burdekin

Claremont McKenna College - Robert Day School of Economics and Finance

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics; Balsillie school of international affairs

Date Written: July 1, 2011

Abstract

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.

Keywords: Stock returns, convergence, crises, Asia‐Pacific, China

JEL Classification: G15

Suggested Citation

Burdekin, Richard C. K. and Siklos, Pierre L., Enter the Dragon: Interactions between Chinese, US and Asia‐Pacific Equity Markets, 1995‐2010 (July 1, 2011). Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2011-04. Available at SSRN: https://ssrn.com/abstract=1898744 or http://dx.doi.org/10.2139/ssrn.1898744

Richard C. K. Burdekin (Contact Author)

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth Street
Claremont, CA 91711
United States

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics ( email )

Department of Economics
75 University Avenue W.
Waterloo, Ontario N2L 3C5
Canada
519-884-0710 Ext.. 3491 (Phone)

HOME PAGE: http://pierrelsiklos.com

Balsillie school of international affairs ( email )

67 Erb Street West
Waterloo, ON N2L 6C2
Canada

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