In 1994–1995, Jardine Matheson Group delisted its five major group members from the Stock Exchange of Hong Kong, so that their trading was transferred to Singapore. We document that the trading volume of these five stocks fell after the delisting, and that they became less correlated with the Hong Kong market. We use a multivariate GARCH framework, which also allows us to present the correlations dynamically. We argue that this is evidence in favor of international market segmentation, since the delisting was not associated with a change in the business strategy of the Group.
