Stock market correlations between China and its emerging market neighbors
AbstractWe examine interlinkages of stock return behavior for China and three emerging market neighbors from the Asia Pacific region from November 1993 to July 2008. Results are based on a VAR model. Impulse responses and vector decomposition of VAR are also utilized. Evidence suggests that the aggregate markets are mostly not interrelated. However, we observe relations between China and the other markets when foreign investor returns are specifically accounted for. In addition, a shock originating in China is significantly felt in the other equity markets. Stock market characteristics and macroeconomic conditions of these countries may help explain the observed relations.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 12 (2011)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/inca/620356
Stock market returns; Market correlations; Emerging market economies; Vector autoregression (VAR); Impulse response functions; Vector decomposition; Stock market characteristics;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- Hanousek, Jan & Novotný, Jan, 2012.
"Price jumps in Visegrad-country stock markets: An empirical analysis,"
Emerging Markets Review,
Elsevier, vol. 13(2), pages 184-201.
- Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
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