Reforms’ Effects on Chinese stock markets world integration - An Empirical analysis with t-DCCGARCH model

Yang Mestre-Zhou ()
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Yang Mestre-Zhou: MRE, Université de Montpellier

Cahiers de recherche from Departement d'économique de l'École de gestion à l'Université de Sherbrooke

Abstract: In recent years the Chinese government has instituted a series of reforms to restructure and open the Chinese financial system. This paper studies the dynamic correlations and sensitivities between Chinese mainland stock market and five major stock markets with the multivariate t-DCC-GARCH model. We also consider a Normal-DCC model and results show that t-DCC improves slightly the results. The analysis of reforms’ effects on dynamic correlations and sensitivities prove that the Chinese mainland market is more closely tied to Asian stock markets over time, followed by the United States, and with relatively lower correlations with Europe and the United Kingdom. We highlight that the implementation of reforms changes theirs correlations and sensitivities over time. Since the reforms, the correlation between China and international stock markets has been reinforced.

Keywords: DCC-GARCH; bivariate t distribution; Chinese Stock Market; Dynamic Correlation; Timevarying sensitivity; Chinese reforms (search for similar items in EconPapers)
JEL-codes: C32 C58 F65 G15 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2019-08
New Economics Papers: this item is included in nep-cna, nep-fmk, nep-sea and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:shr:wpaper:19-06

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