The Changing Return Dynamics of the Hang Seng and the Shanghai Composite Indices.

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Author French, Joseph J. en_US
Available date 2009-11-25T12:41:21Z en_US
Publication Date 2008 en_US
Citation Studies of Business and Economics, 2008, Vol. 14, No. 1, Pages 5-15. en_US
URI http://hdl.handle.net/10576/6843 en_US
Abstract Diversification benefits to international investors depend fundamentally on the dynamic correlations of returns between market indices. The relationship between the Hang Seng and Shanghai Composite indices are analyzed in this research for the period before, during and after the 1997 British handover of Hong Kong. Diversification benefits between the two markets are shown to have reduced after the 1997 handover. A further series econometric analysis of the joint dynamics of these two markets shows an increasingly important role of the Shanghai Composite Index, particularly after 1999. The results of this research clearly demonstrate that diversification benefits have diminished between these two markets following the 1997 handover. en_US
Language en en_US
Publisher Qatar University en_US
Subject Changing Return Dynamics en_US
Title The Changing Return Dynamics of the Hang Seng and the Shanghai Composite Indices. en_US
Type Article en_US
Pagination 5-15 en_US
Issue Number 1 en_US
Volume Number 14 en_US


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