Does the Chinese stock market react to global news?

Hans Byström

Journal of the Asia Pacific Economy, 2011, vol. 16, issue 3, 448-455

Abstract: In this paper, the news aggregator Google News is used to assess the impact of worldwide news on the volatility of the Chinese stock market. Although we find a strong link between the global stock market volatility and the amount of stock market-related news available worldwide, the link between the Chinese stock market and the same set of worldwide news is found to be much weaker. Diverging patterns for (domestic) A shares and (international) B shares lead us to conclude that the direction of causality most likely is from news volumes to volatility and not vice versa.

Date: 2011
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DOI: 10.1080/13547860.2011.589631

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