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 journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 213-228 |
| Journal / Publication | Review of Pacific Basin Financial Markets and Policies |
| Volume | 9 |
| Issue number | 2 |
| Publication status | Published - Jun 2006 |
| Externally published | Yes |
Link(s)
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 journal › peer-review
