Browsing by Author "Tang, Sam Hak Kan"

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    The dynamic interrelationship between the greater China share markets
    (2023) Groeneweld, Nicholaas; Tang, Sam Hak Kan; Wu, Yanrui
    This paper investigates the interrelationships between prices on the mainland Chinese share market and those in the neighboring markets of Hong Kong and Taiwan. While there is a growing literature on interrelationships between share market including the emerging markets in Asia, very little is known about the role of mainland markets in the region. We consider the interrelationships between the Shanghai and Shenzhen exchanges and those in Hong Kong and Taiwan. We begin by combining the Shanghai and Shenzen price indexes for Hong Kong and Taiwan. We find that the mainland markets are relatively isolated from the other two markets considered, although after the Asian crisis there is evidence that Hong Kong has weak predictive power for returns in the mainland. Hong Kong also clearly Granger-causes Taiwan although the reverse is not true. Both Hong Kong and Taiwan have strong contemporaneous relationships, a feature which is more marked after the Asia crisis. Both before and after the 1997, there were strong contemporaneous relationships between the two mainland markets, vindicating our earlier decision to treat them as a single market.