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http://dx.doi.org/10.17703/JCCT.2019.5.3.113

nterdependence of China, Hong Kong, Taiwan and Singapore Stock Markets after Shanghai-Hong Kong Stock Connect  

Jung, Heonyong (Dept. of Business Administration, Namseoul Univ)
Publication Information
The Journal of the Convergence on Culture Technology / v.5, no.3, 2019 , pp. 113-118 More about this Journal
Abstract
This study analyzed how interdependence between China, Hong Kong, Taiwan and Singapore stock markets changed after the implementation of Shanghai-Hong Kong Stock Connect system using the EGARCH-GED model that allow simultaneous analysis of return and variability. Since the implementation of this system, the interdependence of Taiwan stock market with the Greater China stock markets has been weakened, and the interdependence of Singapore's stock market with the Greater China stock markets has not been exist. On the other hand, he interdependence between China and Hong Kong stock markets has been shown to be significantly enhanced since the implementation of this system. This is appears to be the result of improved conditions for Chinese and Hong Kong investors to invest in the two stock markets following the implementation of this system. Thus, considering the portfolio investment in the Greater China stock markets, the investors will need to develop their investment strategies in light of these facts that the weakening interdependence of the Taiwan and Singapore securities markets and the strengthening interdependence of the Chinese and Hong Kong securities markets.
Keywords
Interdependence; Greater China Stock Markets; Shanghai-Hong Kong Stock Connect; Portfolio;
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Times Cited By KSCI : 3  (Citation Analysis)
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