Jardine Matheson group's delisting from the stock exchange of Hong Kong : Evidence on international market integration/segmentation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)213-228
Journal / PublicationReview of Pacific Basin Financial Markets and Policies
Volume9
Issue number2
Publication statusPublished - Jun 2006
Externally publishedYes

Abstract

In 1994-1995, Jardine Matheson Group delisted its five major group members from the Stock Exchange of Hong Kong, so that their trading was transferred to Singapore. We document that the trading volume of these five stocks fell after the delisting, and that they became less correlated with the Hong Kong market. We use a multivariate GARCH framework, which also allows us to present the correlations dynamically. We argue that this is evidence in favor of international market segmentation, since the delisting was not associated with a change in the business strategy of the Group. © World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research.

Research Area(s)

  • Correlation, GARCH, International Market Integration, Segmentation

Citation Format(s)

Jardine Matheson group's delisting from the stock exchange of Hong Kong : Evidence on international market integration/segmentation. / Carverhill, Andrew; Chan, Alex W.H.

In: Review of Pacific Basin Financial Markets and Policies, Vol. 9, No. 2, 06.2006, p. 213-228.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review