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

TitleJardine Matheson group's delisting from the stock exchange of Hong Kong: Evidence on international market integration/segmentation
Authors
KeywordsCorrelation
GARCH
International Market Integration
Segmentation
Issue Date2006
PublisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/rpbfmp/rpbfmp.shtml
Citation
Review Of Pacific Basin Financial Markets And Policies, 2006, v. 9 n. 2, p. 213-228 How to Cite?
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/85672
ISSN
2015 SCImago Journal Rankings: 0.235
References

 

DC FieldValueLanguage
dc.contributor.authorCarverhill, Aen_HK
dc.contributor.authorChan, AWHen_HK
dc.date.accessioned2010-09-06T09:07:51Z-
dc.date.available2010-09-06T09:07:51Z-
dc.date.issued2006en_HK
dc.identifier.citationReview Of Pacific Basin Financial Markets And Policies, 2006, v. 9 n. 2, p. 213-228en_HK
dc.identifier.issn0219-0915en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85672-
dc.description.abstractIn 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.en_HK
dc.languageengen_HK
dc.publisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/rpbfmp/rpbfmp.shtmlen_HK
dc.relation.ispartofReview of Pacific Basin Financial Markets and Policiesen_HK
dc.subjectCorrelationen_HK
dc.subjectGARCHen_HK
dc.subjectInternational Market Integrationen_HK
dc.subjectSegmentationen_HK
dc.titleJardine Matheson group's delisting from the stock exchange of Hong Kong: Evidence on international market integration/segmentationen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0219-0915&volume=9 No2&spage=219&epage=228&date=2006&atitle=Jardine+Matheson+Group%27s+Delisting+from+the+Stock+Exchange+of+Hong+Kong:+Evidence+on+International+Market+Integration/Segmentationen_HK
dc.identifier.emailCarverhill, A: carverhill@business.hku.hken_HK
dc.identifier.emailChan, AWH: awhchan@hku.hken_HK
dc.identifier.authorityCarverhill, A=rp01042en_HK
dc.identifier.authorityChan, AWH=rp01043en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1142/S0219091506000707en_HK
dc.identifier.scopuseid_2-s2.0-33745282410en_HK
dc.identifier.hkuros116919en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33745282410&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume9en_HK
dc.identifier.issue2en_HK
dc.identifier.spage213en_HK
dc.identifier.epage228en_HK
dc.publisher.placeSingaporeen_HK
dc.identifier.scopusauthoridCarverhill, A=8404716900en_HK
dc.identifier.scopusauthoridChan, AWH=37019602700en_HK

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