The role of Chinese stock market in global stock markets: A safe haven or a hedge?
AbstractThe contribution of the study is threefold. First, the paper proposes a new empirically testable definition for a safe haven and a hedge from the viewpoint of extreme and regular dependences measured by a modern statistical tool of copulas. Second, this paper investigates the extreme and regular dependences between the Chinese and the G7 stock markets, using a mixture copula specification, and the results reveal that the Chinese stock market has been not only a hedge but also a safe haven for the G7 stock markets all these years. Finally, this study suggests that the Chinese stock market is the target market for global stock fund managers and international investors, who are seeking a hedge or a safe haven for their portfolios, under turbulence.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 19 (2010)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/inca/620165
Chinese stock market Safe haven Hedge Copula;
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The Institute for International Integration Studies Discussion Paper Series
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