 The interactions between China and US stock markets: New perspectivesGeorge L. Ye Journal of International Financial Markets, Institutions and Money, 2014, vol. 31, issue C, 331-342 Abstract: This paper takes a new approach to investigate the interaction between the U.S. and China's stock markets. Since the U.S. and China's stock markets have no overlap in their trading hours, many empirical studies show that the daily returns on these two markets are not correlated. In this paper, we examine the ability of the daily returns on the S&P500 and the DJIA to forecast the direction of the openings of the SSEC and SZCI, two benchmark indexes in the China's stock market, and vice versa. We show that the daily returns on the U.S. stock market have had significant ability to forecast Chinese stock market openings since 2006, while the daily returns on the China's stock market have not shown the similar ability to forecast the U.S. stock market openings. Keywords: Stock markets interaction; Forecasting ability; China; International investment (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:31:y:2014:i:c:p:331-342 DOI: 10.1016/j.intfin.2014.04.008 Access Statistics for this article Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely More articles in Journal of International Financial Markets, Institutions and Money from Elsevier |
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