Co-movements of Shanghai and New York stock prices by time-varying regressions

Gregory C. Chow, Changjiang Liu and Linlin Niu

Journal of Comparative Economics, 2011, vol. 39, issue 4, 577-583

Abstract: We use time-varying regression to model the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of current stock return of New York on Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002 when China entered WTO. The effect of current return of Shanghai on New York also becomes significantly positive and increasing after 2002. The upward trend has been interrupted during the recent global financial crisis, but reaches the level of about 0.4–0.5 in 2010 for both markets. Our results show that China’s stock market has become more and more integrated to the world market in the past twenty years with interruptions occurring during the recent global economic downturn.

Keywords: China; Globalization; Rate of return; Stock markets; Time-varying parameter regression (search for similar items in EconPapers)
JEL-codes: C29 C58 G14 P43 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (15)

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Related works:
Working Paper: Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions (2013)
Working Paper: Co-movements of Shanghai and New York Stock prices by time-varying regressions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jcecon:v:39:y:2011:i:4:p:577-583

DOI: 10.1016/j.jce.2011.06.001

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