Using U.S. Treasury bill and Eurodollar futures to proxy for domestic and external interest rates, respectively, this study examines ex ante interest rate transmission across markets for the period 1982‐1991. The results indicate that these interest rates are cointegrated and that they Granger‐cause each other, implying that both domestic and offshore interest rates move together and that both markets are integrated. Interest rate transmission is found to be more rapid in recent years, a result supporting the idea that the international financial markets are becoming more integrated.
Using a modified outlier identification procedure by Chen and Liu (1993), this article studies the large shocks of the Greater China stock markets. We find that while large shocks are typical in all the markets and more outliers appear in the Chinese stock markets than in the other markets. We also find that most of the outliers identified in the Hong Kong market cluster in the periods of the 1997 Asian financial crisis and after the government's market intervention in August 1998. With the exception of Hong Kong, most outliers seem to be driven by local events (JEL C52, G14, G15).
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