Cross-regional connectedness of financial market: Measurement and determinants

Xin Yang, Xuya Wang, Jie Cao, Lili Zhao and Chuangxia Huang

The North American Journal of Economics and Finance, 2024, vol. 72, issue C

Abstract: This paper investigates to what extent the cross-regional connectedness of the financial market occurs and how it is determined. We adopt Diebold and Yilmaz’s (2014) method to quantify the magnitude and time-varying nature of the connectedness of China’s regional stock price indexes, and the results show a strong and significantly different dynamic connectedness across the regions. Moreover, total connectedness exhibits a dynamic rise in trend in periods of Chinese stock market crashes, trade disputes between China and the United States, and the COVID-19 pandemic. Finally, financial marketization, industrial structure, and government intervention have a significant effect on cross-regional connectedness.

Keywords: Connectedness; Finance marketization; Industrial structure; Government intervention (search for similar items in EconPapers)
JEL-codes: G01 G10 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000822

DOI: 10.1016/j.najef.2024.102157

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