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

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

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dc.contributor.author French, Joseph J. en_US
dc.date.accessioned 2009-11-25T12:41:21Z
dc.date.available 2009-11-25T12:41:21Z
dc.date.issued 2008 en_US
dc.identifier.citation Studies of Business and Economics, 2008, Vol. 14, No. 1, Pages 5-15. en_US
dc.identifier.uri http://hdl.handle.net/10576/6843
dc.description.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
dc.language.iso en en_US
dc.publisher Qatar University en_US
dc.subject Changing Return Dynamics en_US
dc.title The Changing Return Dynamics of the Hang Eeng and the Shanghai Composite Indices. en_US
dc.type Article en_US
dc.identifier.pagination 5-15 en_US
dc.identifier.issue 1 en_US
dc.identifier.volume 14 en_US

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