EconPapers    
Economics at your fingertips  
 

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

Gregory C. Chow, Changjiang Liu and Linlin Niu ()

No 16/2011, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition

Abstract: We estimate a time-varying regression model to study 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 the current stock return for New York on that for Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002, when China entered WTO. The effect of the current return for 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 to 0.5 in 2010 for both markets. Our results show that China's stock market has become more and more integrated into the world market in the past twenty years, with interruptions occurring during the recent global economic downturn.

Date: 2011-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Published in Published in Journal of Comparative Economics, Vol. 39, Issue 4, Dec. 2011, pp. 577-583

Downloads: (external link)
https://helda.helsinki.fi/bof/bitstream/123456789/8278/1/169186.pdf (application/pdf)

Related works:
Working Paper: Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions (2013) Downloads
Journal Article: Co-movements of Shanghai and New York stock prices by time-varying regressions (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bof:bofitp:2011_016

Access Statistics for this paper

More papers in BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().

 
Page updated 2019-10-14
Handle: RePEc:bof:bofitp:2011_016