Stock market interdependence between China and the world: A multi-factor R-squared approach

Hongbo He, Shou Chen, Shujie Yao and Jinghua Ou

Finance Research Letters, 2015, vol. 13, issue C, 125-129

Abstract: Using the daily return indexes of 39 industries obtained from DataStream database during 3 January 2000–31 May 2011 of the world stock markets and the multi-factor R-squared approach, we derive a normalized index to analyze the impact of China’s financial liberalization on its stock market interdependence with the world. It is found that China’s financial market reforms after its WTO accession have significantly enhanced market interdependence.

Keywords: Market interdependence; Principal component analysis; Multi-factor R-squared (search for similar items in EconPapers)
JEL-codes: C22 C38 F36 G15 G18 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:13:y:2015:i:c:p:125-129

DOI: 10.1016/j.frl.2015.02.005

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