IDEAS home Printed from https://ideas.repec.org/a/hin/jnddns/6541902.html
   My bibliography  Save this article

The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Author

Listed:
  • Tao Bing
  • Fei Hu
  • Hongkun Ma
  • Dehua Shen

Abstract

This paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and MF-DCCA method, we find the existence of the cross-correlations between the foreign flows and the VIX index, the foreign flows, and the US EPU index from qualitative and quantitative perspectives, respectively. For the cross-correlation between the foreign flows and VIX, small fluctuations are persistent, while large fluctuations are antipersistent. In contrast, the cross-correlation between the foreign flows and US EPU is antipersistent and steady. These results are robust by dividing the foreign flows into two parts in Shenzhen and Shanghai stock exchanges, respectively, and by shortening the periods to after the implementation of Shenzhen-Hong Kong Stock Connect.

Suggested Citation

  • Tao Bing & Fei Hu & Hongkun Ma & Dehua Shen, 2021. "The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2021, pages 1-18, November.
    • Handle: RePEc:hin:jnddns:6541902
    DOI: 10.1155/2021/6541902
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/ddns/2021/6541902.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/ddns/2021/6541902.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2021/6541902?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:hin:jnddns:6541902. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.