Common Influences, Spillover and Integration in Chinese Stock Markets
Author | : Enzo Weber |
Publisher | : |
Total Pages | : 21 |
Release | : 2008 |
Genre | : |
ISBN | : |
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The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an econometric technique capable of identifying common factor in uences from (bi-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have largely replaced direct spillovers. -- China ; stock market ; integration ; causality ; correlation