Capital Market Liberalization and Equity Market Interdependence

17 Pages Posted: 1 Jun 2020

See all articles by Renee Fry-McKibbin

Renee Fry-McKibbin

Australian National University (ANU) - Crawford School of Public Policy; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy

Ziyu Yan

Crawford School of Public Policy, ANU

Date Written: May 28, 2020

Abstract

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

Fry-McKibbin, Renee and Yan, Ziyu, Capital Market Liberalization and Equity Market Interdependence (May 28, 2020). CAMA Working Paper No. 55/2020, Available at SSRN: https://ssrn.com/abstract=3612457 or http://dx.doi.org/10.2139/ssrn.3612457

Renee Fry-McKibbin (Contact Author)

Australian National University (ANU) - Crawford School of Public Policy ( email )

7 Liversidge Street
Lennox Crossing
Canberra, ACT 0200
Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy ( email )

Canberra, Australian Capital Territory 0200
Australia

Ziyu Yan

Crawford School of Public Policy, ANU ( email )

Canberra, Australian Capital Territory 2601
Australia

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