Financial liberalization and cross-border market integration: Evidence from China's stock market

Shujie Yao, Hongbo He, Shou Chen and Jinghua Ou

International Review of Economics & Finance, 2018, vol. 58, issue C, 220-245

Abstract: Using the weak-form measure, this paper derives a normalized index to study the impact of China's financial liberalization policies on its stock market integration with the rest of the world during 2000–2015. It reveals that the Chinese stock markets in general have become more integrated with the world markets irrespective of significant fluctuations. In particular, it is found that QFII, QDII and RQFII have consistent and positive effects on market integration but other policy reforms act negatively. Some de jure policy reforms, such as the RMB exchange rate liberalization, are found to have varying effects depending on other market conditions.

Keywords: Financial liberalization; Market integration; Stochastic discount factor; The weak-form measure (search for similar items in EconPapers)
JEL-codes: C22 C38 F36 G15 G18 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:58:y:2018:i:c:p:220-245

DOI: 10.1016/j.iref.2018.03.023

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