Volatility and Correlation Dynamics of the MainlandChinese and Hong Kong Stock Markets:
               <i>Evidence from the A-, B-, H- and Red Chip Markets</i>

Ho, Kin Yip; Shi, Yanlin; Zhang, Zhaoyong

doi:10.3905/jwm.2014.17.2.055

Cited by 3 publications

(3 citation statements)

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“…Hence, a persistent conditional volatility indicates that today's information set can significantly affect the pricing of long-term contracts. Therefore, investors can optimize their trading strategies of assets in a portfolio with co-persistence in volatility, so that the risk premium for long-term contracts in that portfolio can be time invariant (Ho et al, 2014). To realize it, the vector of asset shares needs to be proportional to the co-persistent vector in volatility.…”

Section: Dcc-garch-type Modelsmentioning

confidence: 99%

“…Some recent studies like Yu et al (2010) and Chen et al (2011) have analysed the degree of financial integration among the Chinese markets, and suggest that the mainland Chinese and Hong Kong stock markets appear to be significantly correlated. Moreover, existing literature argues that the correlations between those markets are time-varying, and some of them exhibit clear trends (Ho and Zhang, 2012;Weber and Zhang, 2012;Ho et al, 2014).…”

Section: Introductionmentioning

confidence: 99%

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It takes two to tango: A regime‐switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong stock markets

Shi

Zhang

2016

Scottish J Political Eco

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This paper proposes a regime-switching model to examine the correlation dynamics of the mainland Chinese and Hong Kong stock markets with high-frequency A-, B-, H-shares and Red Chip indexes. We find significant evidence of volatility persistence and asymmetries in these markets. Our model further suggests all correlations are significantly time-varying with various patterns and co-persistence in both low- and high-correlation states. Our findings have important implications for both policymakers and investors, such as understanding the extent and nature of integration between the mainland Chinese and Hong Kong stock markets over time and developing dynamic strategies for optimal hedging and portfolio management

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Section: Dcc-garch-type Modelsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

It takes two to tango: A regime‐switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong stock markets

Shi

Zhang

2016

Scottish J Political Eco

Self Cite

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“…Penelitian sebelumnya mengenai hubungan antara indeks harga saham, baik pada bursa saham di dalam maupun di luar negeri, antara lain yaitu penelitian Yip Ho et. al.…”

Section: Indikator Aktivitas Perdaganganunclassified

Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

Mulyono

2015

Binus Business Review

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Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index(IHSG) that consists of 445 stocks

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What drives the liquidity premium in the Chinese stock market?

Zhang

2020

The North American Journal of Economics and Finance

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Volatility and Correlation Dynamics of the MainlandChinese and Hong Kong Stock Markets: Evidence from the A-, B-, H- and Red Chip Markets

Cited by 3 publications

References 24 publications

It takes two to tango: A regime‐switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong stock markets

It takes two to tango: A regime‐switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong stock markets

Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

What drives the liquidity premium in the Chinese stock market?

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