Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
© 2017 Emily C. Bassett
This paper uses an event study in combination with Granger causality tests to analyze the effects of capital control liberalizations in China. The AH Premium between the Shenzhen and Hong Kong Stock Exchanges and the Shanghai and Hong Kong Stock Exchanges in addition to the total returns of the Shanghai Composite are all used to measure the effect of each event. The results are most significant in the Shenzhen-Hong Kong AH premium, but the overall market reaction to each liberalization event was minimal. The Granger causality tests studied relationships between the Shanghai Composite, the S&P 500, the FTSE 100, the Hang Seng, and the All-Ordinaries Index. Results showed the strongest Granger causal relationships between Shanghai, Hong Kong, and Australia. Overall, the Granger causality results are inconsistent with the theory that increased currency liberalization in China causes increased integration with other major global markets.
Bassett, Emily, "The Effect of Chinese Capital Control Liberalizations on Shanghai Stock Market Integration" (2018). CMC Senior Theses. 1746.
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