Two-Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets

被引：5

作者：

Wang, Kent ^{[1
]}

Miao, Li ^{[1
]}

Li, Jiawei ^{[1
]}

机构：

[1] Xiamen Univ, WISE, Xiamen 361005, Peoples R China

来源：

INTERNATIONAL REVIEW OF FINANCE | 2013年 / 13卷 / 01期

关键词：

RETURNS; COMOVEMENTS; VOLATILITY; CONTAGION; VARIANCE; MODELS; GAINS;

D O I：

10.1111/j.1468-2443.2012.01160.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyzed the correlation between mainland China and Hong Kong stock markets based on cash flow (CF) news and discount rate (DR) news instead of considering market return as a whole. We decomposed stock return into CF news and DR news following Campbell and Vuolteenaho. Then, the VAR-BEKK- GARCH method was used to investigate the time-varying correlations of CF news and DR news in the two markets. We ensured robustness by using the structural break test from Bai and Perron to estimate the structural break points during the sample period. The results show that CF news and DR news in the mainland China market is more volatile than in the Hong Kong market, and DR news correlation is usually negative when the mainland China market is undergoing some reform. The estimated structural break points were matched to important events in the mainland China market and the two markets become increasingly correlated.

引用

页码：93 / 110

页数：18

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