The Long-term Performance Of Foreign Listings Of Chinese Companies And The Degree Of Stock Market Co-movements

The listing of Chinese enterprises on foreign securities exchanges markets has been one of the most important financial phenomena. With indices like MCAR, CAR, BHAR and WR as the measures, this paper chooses Chinese firms listed on Hong Kong, Singapore, NASDAQ and New York Stock Exchanges as the sample to measure the long-term performance. The conclusion is make that the long-term performance of these IPOs overperforms the index performance, which in a sense indicates the booming of China Concept shares.Then, by DCC(1,1)-MVGARCH model,the dynamic conditional correlations in terms of return between China Concept stock indices and Shanghai Composite Index,China Concept stock indices and Shenzhen Composite Index, China Concept stock indices and American local market indices are investigated respectively. From the empirical results,the following conclusions can be made: (1) The Dynamic conditional correlations between China concept stock indices and indices of both Shenzhen Composite Index and Shanghai Composite Index are very weak; (2) The volatility relevance of Shenzhen Composite Index with China Concept stock indices was approximate to that with the Shanghai Composite Index before the year 2005. However, after 2005, the volatility relevance of Shanghai Composite Index with overseas market indices get stronger than that with the Shenzhen Composite Index; (3) Since 2006, the dynamic conditional correlation between China concept stock index of USA and indices of China suddenly turns stronger during the sharp jump and slump, but still comparatively weak in general times; (4) The dynamic conditional correlation between China concept stock indices and American local markets is much stronger than that between the Chinese markets. Therefore, the overseas market is the main effective factor leading to the fluctuation of those oversea-listed Chinese shares; (5) The dynamic conditional correlation between China mainland stock market and China Concept Stock index has been getting tighter and tighter in recent years, especially for Hong Kong market.With opening and closing stock prices of A-shares market and Hongkong market from the year 2003 to 2008 as the object for analysis, this paper finally examines transmission of pricing information between two stock exchanges by the method of Seemingly Unrelated Regression. The empirical results present that pricing information is transmitted mainly from mainland to Hongkong market.