The effect of China's stock market reforms on market interdependence

Hong Li ()
Additional contact information
Hong Li: Kingston University London

No 2010-4, Economics Discussion Papers from School of Economics, Kingston University London

Abstract: This paper investigates stock market interdependence between China, Korea, Japan and the US with particular attention to the impact of the Chinese reforms within a 4x4 asymmetric GARCH-BEKК framework. We find a bi-directional market linkage between China and the US and uni-directional linkages from China to Korea and Japan during 1992-2010. However, the market interdependence between China and the US remains weak while China is increasingly integrated with the regional markets. The five major reform policies under study are significant in altering the extent of the market interdependence, but it is trade links as well as the reforms that strengthen the regional market integration during 2003-2010 and stock market volatility that increases the market interdependence between China and the US during 2008-2010 The weak market integration with the US limits the destabilising effect on China although negative shock propagation was found from the US to China during the latest financial crises.

Keywords: multivariate GARCH models; asymmetric response of volatility; volatility spillovers; stock markets linkages; time-varying market integration; stock market liberalisation (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2010-12-31
References: Add references at CitEc
Citations:

Downloads: (external link)
http://eprints.kingston.ac.uk/16241/ Full text (text/html)

Related works:
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:ris:kngedp:2010_004

Access Statistics for this paper

More papers in Economics Discussion Papers from School of Economics, Kingston University London Kingston University London, School of Economics, Penrhyn Road, Kingston upon Thames, Surrey, KT1 2EE, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Andrea Ingianni ().