Cointegration between Hong Kong commerical real estate and property stocks pre- and post- 1997 evidence /

Thesis (B.Sc)--University of Hong Kong, 2004.published_or_final_versio

Integration of the major equity markets in East Asia aroind the recent global financial crisis

This study investigates the integration of the stock markets in the US, Japan, Hong Kong and Mainland China before, during and after the subprime crisis. The data included cover the time period from January 2004 to October 2013. Both the data in local currency and the data in the common currency of US dollar are analyzed in the study. In this thesis, Johansen cointegration test, Granger causality test, the method of variance decomposition, and the newly proposed spillover indexes of Diebold and Yilmaz (2012) are utilized to study the cross-market connections of the four stock markets. The cointegration tests indicate that the financial crisis has temporarily strengthened the long-term linkages of the stock markets. The Granger causality tests show that the impact of the Asian stock markets on the US market during the crisis is larger than that of the pre-crisis period. The variance decomposition suggests that the interdependences of the selected stock markets are stronger during the crisis period and the increased inter-linkages of the markets do not sustain after the crisis. The spillover indexes further confirm that more intense cross-market spillovers occurred during the crisis period.fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format

Value Investing and Size Effect in the South Korean Stock Market

There are indications that value investing strategies have been able to outperform the overall market in several countries across the globe. In this article, the specific case of South Korea is analyzed. It would appear that from a rigorous statistical point of view there are no strong evidence supporting the outperformance of value stocks versus growth stocks in South Korea, particularly when measured on a yearly basis. These results were consistent using both MSCI value and growth indexes as well as constructing portfolios using the P/E, P/B, cash flow per share and average 5-year sales growth. The statistical tests performed failed to reject for the majority of the years that the monthly returns come from distributions with different medians. The test yielding rather consistent results on a yearly basis but for large periods of time (decades) the results were more mixed, pointing in some cases to value investing outperforming over that very long time frame. It should be noted that the final value of the portfolios was rather different when using criteria, such as low P/E, typically associated with value stocks. The tests also failed to reject the hypothesis of different means for the monthly returns of small, medium and large companies

The Stock Connect Programs: A Study of their Impact on Chinese Stock Returns and Global Stock Markets Integration

The Stock Connect programs are important steps for China to liberate its relatively restricted financial market. The Shanghai – Hong Kong Stock Connect program launched in 2014, and the Shenzhen – Hong Kong program launched in 2016 allowed both institutional and individual international investors access to the Chinese stock market for the first time. This paper studies the impact of the Stock Connect programs on Chinese stock returns and Chinese stock market’s integration with international stock markets using 2SLS regression analysis. Regression results show that the launch of the SH – HK Stock Connect program increased daily returns of all four eligible indexes under Stock Connect programs but did not increase correlation between daily performances of Chinese stock market and global stock markets with statistical significance

Spillover Effects among the Greater China Region Stock Markets

This paper explores the linkages between the different stock markets in the Greater China region. Cointegration tests indicate that the three markets are not cointegrated. A vector-autoregressive multivariate conditional volatility model that accounts for asymmetric volatility effects is used to model the mean and volatility processes of the different stock markets. The empirical findings indicate spillover effects in both mean and variance between the markets. Both China and Hong Kong are effected by mean spillover effects from Taiwan, while Hong Kong and Taiwan show signs of a feedback relationship in their volatility processes. The later markets also show clear signs of asymmetric volatility effects, while China's market seems to follow a symmetric volatility path. Overall, the Mainland China market is much less interdependent with the other two markets, whereas Taiwan and Hong Kong show clear bidirectional spillover effects. Furthermore, the volatility persistence is strong in all three markets, and especially so in the Mainland China stock market, where the half-life of innovations in the volatility process is close to 40 periods.Stock Markets, Greater China, Cointegration, Causality, Multivariate EGARCH

Evaluating The International Diversification Benefits Of Chinas New Indexes

This article examines the characteristics and performance of selected Chinas financial indexes. Although several indexes were recently made available, this study focuses on three in particular because they are compiled using distinct methodologies. Based on the differences in their composition, they were categorized as either global or investable indexes, herein indexes composed of shares that are readily available for trading in the market. From a portfolio diversification perspective, this study found that U.S. investors seeking exposure to China stand to gain the most from funds tracking the Standard & Poors/CITIC 50 Index (a global index) than from those tracking the FTSE/Xinhua China 25 Indexor the Halter USX China Index (investable indexes). Its risk-return characteristics, along with other performance evaluation measures used, show that it is most efficient in providing international diversification benefits