Stock market correlations between China and its emerging market neighbors

Shamila A. Jayasuriya

Emerging Markets Review, 2011, vol. 12, issue 4, 418-431

Abstract: We examine interlinkages of stock return behavior for China and three emerging market neighbors from the Asia Pacific region from November 1993 to July 2008. Results are based on a VAR model. Impulse responses and vector decomposition of VAR are also utilized. Evidence suggests that the aggregate markets are mostly not interrelated. However, we observe relations between China and the other markets when foreign investor returns are specifically accounted for. In addition, a shock originating in China is significantly felt in the other equity markets. Stock market characteristics and macroeconomic conditions of these countries may help explain the observed relations.

Keywords: Stock market returns; Market correlations; Emerging market economies; Vector autoregression (VAR); Impulse response functions; Vector decomposition; Stock market characteristics (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:12:y:2011:i:4:p:418-431

DOI: 10.1016/j.ememar.2011.06.005

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