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It takes two to tango

It takes two to tango: A regime-switching analysis

Kin-Yip Ho, Yanlin Shi and Zhaoyong Zhang

It takes two to tango: A regime-switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong markets

Scottish Journal of Political Economy

This paper proposes a regime-switching model to examine the correlation dynamics of the mainland Chinese and Hong Kong stock markets with high-frequency A-, B-, H-shares and Red Chip indexes.

We find significant evidence of volatility persistence and asymmetries in these markets. Our model further suggests all correlations are significantly time-varying with various patterns and co-persistence in both low- and high-correlation states.

Our findings have important implications for both policymakers and investors, such as understanding the extent and nature of integration between the mainland Chinese and Hong Kong stock markets over time and developing dynamic strategies for optimal hedging and portfolio management.

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Updated:   18 February 2017 / Responsible Officer:  Dean, Business & Economics / Page Contact:  College Web Team