Co-movements of Shanghai and New York stock prices by time-varying regressions
AbstractWe use time-varying regression to model the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of current stock return of New York on Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002 when China entered WTO. The effect of current return of Shanghai on New York also becomes significantly positive and increasing after 2002. The upward trend has been interrupted during the recent global financial crisis, but reaches the level of about 0.4–0.5 in 2010 for both markets. Our results show that China’s stock market has become more and more integrated to the world market in the past twenty years with interruptions occurring during the recent global economic downturn.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Comparative Economics.
Volume (Year): 39 (2011)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/inca/622864
China; Globalization; Rate of return; Stock markets; Time-varying parameter regression;
Find related papers by JEL classification:
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- P43 - Economic Systems - - Other Economic Systems - - - Finance; Public Finance
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