Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data

Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data This paper investigates the dynamic correlations between Chinese stock returns and global markets at both the market and sectoral levels. Statistics suggest that stock-return correlations across markets are time-varying and display structural breaks. An upward shift in stock return correlations is associated with China’s adoption of a higher degree of financial liberalization. The evidence indicates that the stock returns of the financial sector exhibit the highest correlation across countries among 10 sectors. Low correlations are present in the Health Care, Telecommunications, and Utilities sectors. The correlations are closely tied to geographic location: the correlation with Hong Kong is the highest, followed by South Korea, Japan, Europe and the US. The time-series stock-return correlations are positively correlated with the conditional variance and variance premiums. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data

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Publisher
Springer US
Copyright
Copyright © 2015 by Springer Science+Business Media New York
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-015-0529-x
Publisher site
See Article on Publisher Site

References

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