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- Title
Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets.
- Authors
Asem, Ebenezer; Baulkaran, Vishaal; Yalamova, Rossitsa; Zhang, Xiaofei
- Abstract
We examine the effects of the 2008 financial crisis on the cross-market efficiency of the Hong Kong and Shanghai stock markets. Our results show a sharp decline in the cross-market efficiency during the financial crisis. We investigate whether this is due to lower internal market efficiency or higher market co-movement. The results show no evidence that the internal market efficiency dropped in Hong Kong or Shanghai during the crisis. In contrast, we document a strong increase in the market co-movement during the crisis. These results suggest that the decline in cross-market efficiency during the financial crisis is due to increased market co-movement and not a decline in internal market efficiency.
- Subjects
HONG Kong (China); CHINA; MARKET mapping; EFFICIENT market theory; FINANCIAL crises; STOCK exchanges; ENTROPY (Information theory)
- Publication
Asia-Pacific Financial Markets, 2017, Vol 24, Issue 4, p253
- ISSN
1387-2834
- Publication type
Article
- DOI
10.1007/s10690-017-9232-3