Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/60079
Title: A multivariate co-integration analysis of international dually listed stocks
Authors: Kwok, C
Rui, O
Wang, S
Issue Date: 2001
Source: China accounting and finance review (中國會計與財務硏究), Dec. 2001, v. 3, no. 4, p. 18-34 How to cite?
Journal: China accounting and finance review (中國會計與財務硏究) 
Abstract: This paper examines if there is a long-running equilibrium relationship between dually traded stocks traded on the Stock Exchange of Hong Kong (SEHK) and the London Stock Ex- change (LSE). The unit root test concludes that each price series is non-stationary in the levels but stationary after first differencing. Both stock prices on SEHK and LSE are tested for co-integration using both the Johansen and Engle & Granger procedures. The co- integration analysis indicates that both stock prices on SEHK and LSE are co-integrated. The result of error correction model indicates that the adjustments to long-run equilibrium appear to be accomplished by stock prices of SEHK for some firms and by stock prices of LSE for some other firms. Some feedback exists between stock prices of the two markets. The results imply that the domestic market does not act as the dominant market and the foreign market does not act as a satellite market either.
URI: http://hdl.handle.net/10397/60079
ISSN: 1029-807X
EISSN: 2307-3055
Rights: © 2001 香港理工大學, 清華大學, 牛津大學出版
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