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The dynamics of the interrelationships among the financial markets in the Greater China area including Mainland China, Taiwan, and Hong Kong, is a noteworthy issue of economic research. This is not only because the financial markets in this region have grown rapidly over the past decade, but also because of the arguably asymmetric integration of the emerging Chinese economy with advanced countries in the real side of the economy and tight control over financial market. Since its establishment in the early 1990s, the Mainland Chinese stock market has expanded rapidly in terms of capitalization, turnover, and the new listings. Even though the stock markets in the Greater China region have developed independently and with different institutional features, cross-market linkages can be observed in terms of the increasing number of Mainland companies listed in the Stock Exchange of Hong Kong and closer economic ties in the Greater China region. It is believed common factors that affect all economies drive financial integration, while the emerging markets are more likely to be influenced by local events. Recently there have been a number of studies that assess the financial market integration by employing different GARCH models with time-varying conditional correlations. Despite the growing importance of the Greater China stock markets and their dynamic interactions, there have been only a few studies on this issue with a mixed result. Moreover, most of these studies have not analyzed the volatility dynamics of the Greater China stock markets in a multivariate framework, and there is hardly any extensive discussion of the presence of volatility persistence in these markets. This would create potential model misspecification and may generate biased results. ,..., , , ) ( = +

Modeling the fractional integration in volatility between the Greater China Financial Markets