Return transmission among stock markets of Greater China

In this article we study the return transmission among stock markets in Greater China - Mainland China (Shanghai, Shenzhen), Hong Kong and Taiwan - a region which has been enjoying tremendous growth and expansion in the economies and capital markets in the last decade. Using a multiple time series approach we identify explicitly the lead-lag interaction among these markets. The estimation results show that significant multivariate structures are present. These structures can reduce the residual standard error and improve the fit over the univariate models.