Global and Regional Links between Stock Markets - the Case of Russia and China
AbstractIn a broad sample of developed and emerging economies over the past ten years we apply the approximate factor model in a search for common global and regional driving-forces in stock market returns and volatility. We focus particularly on two emerging stock markets - Russia and China, because of their unique characteristics and performance in the past years. We find that while Russian markets, like the CEEC region, substantially increased their integration with global stock markets, both the Chinese A- and B-share markets continued to move largely independently from global movements and only slightly increased in comovement with regional forces. We provide evidence of a general increase in global comovement of stock markets over the past decade and a decline in the role of regional forces, which imply a decrease of the effectiveness of cross-country hedging strategies.
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Bibliographic InfoPaper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 4/2008.
Length: 42 pages
Date of creation: 21 Apr 2008
Date of revision:
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More information through EDIRC
stock markets; financial integration; Russia; China; global and regional integration;
Find related papers by JEL classification:
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-29 (All new papers)
- NEP-CIS-2008-04-29 (Confederation of Independent States)
- NEP-CNA-2008-04-29 (China)
- NEP-TRA-2008-04-29 (Transition Economics)
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