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Common Influences, Spillover and Integration in Chinese Stock Markets

Enzo Weber and Yanqun Zhang

SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an econometric technique capable of identifying common factor in uences from (bi-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have largely replaced direct spillovers.

Keywords: China; Stock Market; Integration; Causality; Correlation (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008-12
New Economics Papers: this item is included in nep-cna and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Common influences, spillover and integration in Chinese stock markets (2012) Downloads
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