On the integration of China's main stock exchange with the international financial market

Zhenxi Chen, Jan Kiviet and Weihong Huang
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Zhenxi Chen: Faculty of Economics, Business and Social Sciences, Christian-Albrechts University, Olshausenstrasse 40, 24118 Kiel, Germany
Weihong Huang: Division of Economics, Nanyang Technological University, 14 Nanyang Drive, Singapore 637332.

No 1505, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

Abstract: Extending published bivariate analyses on the revenues at the stock markets of New York and Shanghai by a tri-variate analysis, which also includes the Hong Kong stock market, we demonstrate that bivariate inferences on co-movement are highly fragile. In fact, rather common opinions like "China's stock market has become more and more integrated to the world market in the past twenty years" can easily be refuted. We do so also by demonstrating that the statistical findings from various earlier analyses are internally inconsistent. A rather straight-forward analysis based on standard and partial correlations over a running window, which does not pretend to unveil causality, indicates that although the Hong Kong market shows substantial though varying co-movement with both the New York and the Shanghai markets, an apparent systematically intensifying direct link between New York and Shanghai has not emerged yet.

Keywords: China; Co-movement; Globalization; Specification analysis; Stock markets. (search for similar items in EconPapers)
JEL-codes: C22 C32 C52 G14 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2015-10
New Economics Papers: this item is included in nep-fmk, nep-sea and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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