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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Common influences, spillover and integration in Chinese stock markets

Abstract

"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 influences 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." (Author's abstract, IAB-Doku) ((en))

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Bibliografische Daten

Weber, Enzo; Zhang, Yanqun (2012): Common influences, spillover and integration in Chinese stock markets. In: Journal of Empirical Finance, Vol. 19, No. 3, S. 382-394.
 

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