Common influences, spillover and integration in Chinese stock markets

Enzo Weber and Yanqun Zhang

Journal of Empirical Finance, 2012, vol. 19, issue 3, 382-394

Abstract: The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an econometric technique capable of identifying common factor influences from (bi-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have largely replaced direct spillovers.

Keywords: China; Stock Market; Correlation; Integration; Spillover (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (13)

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Working Paper: Common influences, spillover and integration in Chinese stock markets (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:19:y:2012:i:3:p:382-394

DOI: 10.1016/j.jempfin.2012.03.001

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