Journal article
Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data
Review of quantitative finance and accounting, v 47(4), pp 1003-1042
Nov 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
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.
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Details
- Title
- Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data
- Creators
- Thomas Chiang - Drexel University 3220 Market Street Philadelphia PA 19104 USALanjun Lao - Fudan University 670 Guoshun Road Shanghai 200433 People’s Republic of ChinaQingfeng Xue - CES Finance Holding Co. Ltd. 686 Wuzhong Road Shanghai 201103 People’s Republic of China
- Publication Details
- Review of quantitative finance and accounting, v 47(4), pp 1003-1042
- Publisher
- Springer; New York
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000385184800006
- Scopus ID
- 2-s2.0-84937119789
- Other Identifier
- 991014877815204721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance