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What drives the dependence between the Chinese and global stock markets?

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  • Lingling Qian
  • Yuexiang Jiang
  • Huaigang Long

Abstract

By applying time-varying copulas and panel regression analysis, this study investigates the dependence between the Chinese and eleven international stock markets, as well as its determinants during the period 2002-2018. Our results indicate that the dependence magnitude between the Chinese stock market and major international markets varies with region. Furthermore, the dependence is negatively driven by both economic policy uncertainty differentials and interest rate differentials while positively affected by the global financial crisis and trade interdependence. Our findings are of great importance to international investors and policymakers.

Suggested Citation

  • Lingling Qian & Yuexiang Jiang & Huaigang Long, 2023. "What drives the dependence between the Chinese and global stock markets?," Modern Finance, Modern Finance Institute, vol. 1(1), pages 12-16.
    • Handle: RePEc:bdy:modfin:v:1:y:2023:i:1:p:12-16:id:5
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    References listed on IDEAS

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