The impact of the Olympics on the causality between the Chinese and international equity markets

Bo Wang, Donghua Xiao, Xiaozhu Guo and Xuming Hu

International Review of Economics & Finance, 2024, vol. 94, issue C

Abstract: Considering the economic impact of hosting the Olympic Games, this work explores the relationship between the Chinese and international equity markets before and after the two Olympic Games hosted in China. We choose SSEC as the representative of the Chinese equity markets, and use DJI and N225 to represent the international equity markets. In addition, we compare the impacts of the summer and winter Olympics. Through the event analysis perspective, the entire sample is divided, and then the relationship between equity markets in different periods is analysed. First, the test results show that DJI affects SSEC at all times, but SSEC cannot affect DJI. Second, we cannot find a linkage between SSEC and N225. However, the Hatemi-J test revealed that there was a significant asymmetric relationship between them during the summer and winter Olympics. And this asymmetric structure could change in the later stages of the Olympic Games. Besides, the asymmetric structure is inconsistent druing the summer and winter Olympic Games. This work may therefore be of great value for improving economic efficiency, avoiding financial risks, or optimizing portfolio decisions.

Keywords: Olympic Games; Chinese equity markets; International equity; Causal relationship; Event study (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003447

DOI: 10.1016/j.iref.2024.05.046

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