Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives

Jan Babecký, Luboš Komárek and Zlatuše Komárková
Authors registered in the RePEc Author Service: Lubos Komarek (), Jan Babecký and Zlatuse Komarkova ()

National Institute Economic Review, 2013, vol. 223, issue 1, R16-R34

Abstract: Interest in examining the financial linkages of economies has increased in the wake of the 2008/9 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration of Russia and China with each other, as well as with respect to the United States, the Euro Area, and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing convergence of stock market returns after the 1997 Asian financial crisis and the 1998 Russian financial crisis. Following a major disruption caused by the 2008/9 global financial crisis, the process of stock market return convergence resumes between Russia and China, as well as with world markets. Notably, the episode of sigma-divergence from the 2008/9 crisis is stronger for China than for Russia. We also find that the process of stock market return convergence and the impact of the recent crisis have not been uniform at the sectoral level, suggesting the potential for diversification of risk across sectors.

Keywords: Stock market integration; beta-convergence; sigma-convergence; China; Russia; sectoral and national analysis (search for similar items in EconPapers)
JEL-codes: C23 G12 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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