Do Bulls and Bears Swim Across Oceans? Market Information Transmission between Greater China and the Rest of the World

26 Pages Posted: 1 Oct 2003

See all articles by Michael Firth

Michael Firth

Lingnan University - Department of Finance and Insurance

Steven Shuye Wang

School of Business, Renmin University of China

Multiple version iconThere are 2 versions of this paper

Date Written: July 2003

Abstract

This study investigates returns and volatilities transmission across Greater China's four emerging stock markets and three developed international markets, Tokyo, London, and New York. Using daily open and close price data from 1994 to 2001, we provide empirical evidence that the overnight returns on all the Greater China stock indices can be estimated by using information from at least one of the three developed markets' daytime returns. The contemporaneous return spillovers are in general unidirectional from more advanced major international markets to the Chinese markets. However, split-sample analysis suggests that there is also evidence of bi-directional return spillovers after the 1997 Asian financial crisis. We also find that there are no one-period lagged return spillover effects from the three advanced markets to the Chinese markets, except for Taiwan. Finally, Mainland China's two stock markets are not affected by contemporaneous nor delayed "bad news".

Keywords: Spillovers, Asian Financial Crisis, GJR-GARCH

JEL Classification: G10, G15

Suggested Citation

Firth, Michael and Wang, Steven Shuye, Do Bulls and Bears Swim Across Oceans? Market Information Transmission between Greater China and the Rest of the World (July 2003). Available at SSRN: https://ssrn.com/abstract=431160 or http://dx.doi.org/10.2139/ssrn.431160

Michael Firth (Contact Author)

Lingnan University - Department of Finance and Insurance ( email )

Castle Peak Road
Tuen Mun, New Territories
Hong Kong
China
+852 2616 8160 (Phone)
+852 2466 4751 (Fax)

Steven Shuye Wang

School of Business, Renmin University of China ( email )

Beijing
China
8610-6251-8856 (Phone)

HOME PAGE: http://rbs.org.cn

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
153
Abstract Views
1,507
rank
240,601
PlumX Metrics