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Does the Chinese stock market react to global news?


  • Hans Byström


In this paper, the news aggregator Google News is used to assess the impact of worldwide news on the volatility of the Chinese stock market. Although we find a strong link between the global stock market volatility and the amount of stock market-related news available worldwide, the link between the Chinese stock market and the same set of worldwide news is found to be much weaker. Diverging patterns for (domestic) A shares and (international) B shares lead us to conclude that the direction of causality most likely is from news volumes to volatility and not vice versa.

Suggested Citation

  • Hans Byström, 2011. "Does the Chinese stock market react to global news?," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(3), pages 448-455.
  • Handle: RePEc:taf:rjapxx:v:16:y:2011:i:3:p:448-455
    DOI: 10.1080/13547860.2011.589631

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    Cited by:

    1. Imlak Shaikh & Puja Padhi, 2013. "RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(4), pages 445-460, March.

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