Empirical Study on Equity Market Integration between China, US and HK

摘要

This paper investigates the correlation dynamics in the equity markets of China, HK and US from 2000 till now using the dynamic conditional correlation GARCH model. This allows us to gauge the speed at which different markets are becoming integrated with the nonlinear PSTR model. The results reveal that the two markets in domestic China has the fastest pace of integration of the local integration and that HK market integrates faster to US markets than to the markets in domestic China, yet integrates more to domestic markets in extent than to US.