Return transmission among stock markets of Greater China

In this article we study the return transmission among stock markets in Gre ater China - Mainland China (Shanghai, Shenzhen), Hong Kong and Taiwan - a region which has been enjoying tremendous growth and expansion in the econo mies and capital markets in the last decade. Using a multiple time series a pproach 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 improv e the fit over the univariate models. (C) 1999 IMACS/Elsevier Science B.V. All rights reserved.