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))

Cite article

Weber, E. & Zhang, Y. (2012): Common influences, spillover and integration in Chinese stock markets. In: Journal of empirical finance, Vol. 19, No. 3, p. 382-394. DOI:10.1016/j.jempfin.2012.03.001