Who Plays the Key Role among Shanghai,Shenzhen and Hong Kong Stock Markets?

被引:3
|
作者
Jian Wang [1 ]
Junfeng Zhu [2 ]
Feifei Dou [3 ]
机构
[1] School of Economics,Fudan University
[2] School of International Affairs,Shanghai Jiaotong University
[3] School of Business,East China University of Political Science and Law
关键词
comovement; lead-lag effect; Morlet wavelet coherence;
D O I
暂无
中图分类号
F832.51 []; F224 [经济数学方法];
学科分类号
020204 ; 0701 ; 070104 ; 1201 ;
摘要
In this paper we examine the daily frequency stock market indices of Shanghai,Shenzhen and Hong Kong from January 2000 to June 2012,and use the Morlet wavelet coherence model to determine who is playing the most important role in the financial markets of China. We find that there are significant comovements between these stock markets in the medium and long run.This provides investors with opportunities to increase their capital gains.The Hong Kong stock market plays a leading role in the long run,but its leader position is threatened by fast-growing Chinese mainland stock markets,especially the Shanghai Stock Exchange.Based on our analysis,the following suggestions apply to the Chinese stock markets:establish and improve international and regional finance centers in Chinese mainland;encourage more qualified institutional investors;reposition the market relations among Hong Kong,Shanghai and Shenzhen;and increase deregulation and internationalization to speed up the integration of financial resources.
引用
收藏
页码:102 / 120
页数:19
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