Co-movement of the Chinese and U.S. aggregate stock returns

Qian Wang () and Choi

Applied Economics, 2015, vol. 47, issue 50, 5337-5353

Abstract: This article studies the co-movement of the levels, as well as of the volatilities, of the Chinese and U.S. aggregate stock returns in 1995-2014, focusing on the impact of the liberalization of Chinese stock market from 2005. The volatilities of the two returns appear to have started to co-move in 2006. To understand the co-movement, we use the GARCH BEKK method. The result suggests that before 2006, the evolution of the U.S. returns had a tendency to affect the Chinese returns in level and volatility. However, after 2006, the two returns affected each other in a more complex way.

Date: 2015
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DOI: 10.1080/00036846.2015.1047090

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