Common influences, spillover and integration in Chinese stock markets

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2008,072

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; General Financial Markets: General (includes Measurement and Data)
• Thema: China ; stock market ; integration ; causality ; correlation ; Aktienmarkt ; Marktsegmentierung ; Börsenkurs ; Spillover-Effekt ; Kausalanalyse ; Korrelation ; China

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Weber, Enzo ; Zhang, Yanqun
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/25315
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ