Does foreign equity investment impact the spillover effect of industries in China?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.najef.2023.101955
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Oloko, Tirimisiyu F., 2018. "Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria," Research in International Business and Finance, Elsevier, vol. 45(C), pages 219-232.
- Hasler, Michael & Ornthanalai, Chayawat, 2018. "Fluctuating attention and financial contagion," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 106-123.
- Dai, Zhifeng & Peng, Yongxin, 2022. "Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Choi, Sun-Yong, 2022. "Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
- Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005.
"Market Integration and Contagion,"
The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
- Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
- Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
- Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
- Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Jiaxing You & Chun Liu & Guqian Du, 2014. "With Economic Integration Comes Financial Contagion? Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(3), pages 62-80, May.
- Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
- Jiang, Dequan & Li, Weiping & Shen, Yongjian & Yao, Zhenye, 2020. "Market liberalization and tax avoidance: Evidence from the Shanghai-Hong Kong Stock Connect Program in China," Economic Systems, Elsevier, vol. 44(3).
- Li, Yanshuang & Zhuang, Xintian & Wang, Jian & Zhang, Weiping, 2020. "Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Xiaomeng Ma & Dong Zou & Chuanchao Huang & Shuliang Lv, 2020. "China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration," Risk Management, Palgrave Macmillan, vol. 22(4), pages 338-361, December.
- Di Yuan & Xiafei Zhou & Shan Li, 2018. "The Dynamics of Financial Market Integration Between Chinese A- and H-Shares," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(13), pages 2909-2924, October.
- Junyi Shi, 2020. "Re-Measurement Of Short-Term International Capital Flows And Its Application: Evidence From China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(06), pages 1645-1665, December.
- Jia, Qiaoyu & Zhou, Jia'nan, 2021. "The dark side of stock market liberalization: Perspectives from corporate R&D activities in China," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.
- Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Aboagye, Ernest & Ko, Stanley Iat-Meng & Lo, Chia Chun & Hsiao, Cody Yu-Ling & Peng, Liang, 2024. "A contagion test with unspecified heteroscedastic errors," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
- Jun Long & Xianghui Yuan & Liwei Jin & Chencheng Zhao, 2024. "Connectedness and risk spillover in China's commodity futures sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 784-802, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Xu, Hao & Li, Songsong, 2023. "What impacts foreign capital flows to China's stock markets? Evidence from financial risk spillover networks," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 559-577.
- Onur Polat, 2024. "Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
- Zhao, Wandi & Gao, Yang, 2024. "Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion," Emerging Markets Review, Elsevier, vol. 59(C).
- Jun Long & Xianghui Yuan & Liwei Jin & Chencheng Zhao, 2024. "Connectedness and risk spillover in China's commodity futures sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 784-802, May.
- Tam Hoang-Nhat Dang & Nhan Thien Nguyen & Duc Hong Vo, 2023. "Sectoral volatility spillovers and their determinants in Vietnam," Economic Change and Restructuring, Springer, vol. 56(1), pages 681-700, February.
- Duan, Kun & Zhao, Yanqi & Urquhart, Andrew & Huang, Yingying, 2023. "Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty," Energy Economics, Elsevier, vol. 127(PA).
- Dang, Tam Hoang Nhat & Balli, Faruk & Balli, Hatice Ozer & Gabauer, David & Nguyen, Thi Thu Ha, 2024. "Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 121-139.
- Ren, Yinghua & Tan, Anqi & Zhu, Huiming & Zhao, Wanru, 2022. "Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Ozcan Ceylan, 2023. "Analysis of Dynamic Connectedness among Sovereign CDS Premia," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 33-47, June.
- Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
- Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
- Zaghum Umar & Oluwasegun Babatunde Adekoya & Mariya Gubareva & Sabri Boubaker, 2024.
"Returns and volatility connectedness among the Eurozone equity markets,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3103-3122, July.
- Z. Umar & O.B. Adekoya & M. Gubareva & Sabri Boubaker, 2023. "Returns and Volatility Connectedness among the EurozoDne Equity Markets," Post-Print hal-04434044, HAL.
- Szafranek, Karol & Rubaszek, Michał & Uddin, Gazi Salah, 2024.
"The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets,"
Energy Economics, Elsevier, vol. 137(C).
- Karol Szafranek & Michał Rubaszek & Gazi Salah Uddin, 2023. "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," KAE Working Papers 2023-095, Warsaw School of Economics, Collegium of Economic Analysis.
- Cheng, Sheng & Deng, MingJie & Liang, Ruibin & Cao, Yan, 2023. "Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies," Resources Policy, Elsevier, vol. 82(C).
- Ouyang, Minhua & Xiao, Hailian, 2024. "Tail risk spillovers among Chinese stock market sectors," Finance Research Letters, Elsevier, vol. 62(PB).
- Niu, Hongli & Hu, Wenwen, 2024. "Static and dynamic interdependencies among natural gas, stocks of global major economies and uncertainty," Resources Policy, Elsevier, vol. 94(C).
- Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
- Chen, Xiuwen & Yao, Yinhong & Wang, Lin & Huang, Shenwei, 2024. "How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
- Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh, 2021. "Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors," Finance Research Letters, Elsevier, vol. 40(C).
More about this item
Keywords
Financial contagion; Foreign equity investment; China’s industries; Spillover effects; Causality test;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823000785. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.