CHINA’S MARKET AND GLOBAL ECONOMIC FACTORS

Mária Bohdalová () and Michal Greguš ()
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Mária Bohdalová: Faculty of Management, Comenius University in Bratislava
Michal Greguš: Faculty of Management, Comenius University in Bratislava

CBU International Conference Proceedings, 2018, vol. 6, issue 0, 58-61

Abstract: The aim of this paper is to analyze the causal relation between the Chinese stock market and the US market. We investigate the dependence structures between two Chinese stock markets (Shanghai Stock Exchange Composite Index (SHCOMP) and Hong Kong Hang Seng Index (HSCEI) markets) and global economic factors such as SP 500 stock markets, volatility index VIX, crude oil and gold. We have used data based on a period from January 2000 to June 2017. The aim of this paper is to explore the causal link between the Chinese market and global economic factors. We have discovered asymmetric causal relations between stock returns and global risk factors based on a quantile regression.

Keywords: quantile regression analysiscausality; Chinese stock market (search for similar items in EconPapers)
JEL-codes: C31 E44 G14 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:aad:iseicj:v:6:y:2018:i:0:p:58-61

DOI: 10.12955/cbup.v6.1133

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