Capital Market Liberalization and Equity Market Interdependence
17 Pages Posted: 1 Jun 2020
Date Written: May 28, 2020
This paper uses tests drawn from the literature on financial market contagion measured by changes in higher-order comoments to establish the patterns in the interdependence between equity markets in Shanghai and Shenzhen with Hong Kong as mainland China liberalized their capital market. On the announcement of the opening of the Shanghai market correlations rise, but subside by the launch. Following the launch changes in coskewness, cokurtosis and covolatility emerge. The liberalization process is complete by mid-September 2016.
Keywords: Shanghai-Hong Kong Stock Connect, Shenzhen Hong-Kong Stock Connect, Contagion, Spillovers
JEL Classification: G15
Suggested Citation: Suggested Citation