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A study on the co‐movement and influencing factors of stock markets between China and the other G20 members

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  • Sen Wang
  • Zhixiu Guo

Abstract

China A‐shares was formally included in the MSCI Emerging Market Index in June 2018, which indicates that China has taken an important step in the internationalization of the capital market. As the world's second largest economy, stock market co‐movement between China and other of G20 members have become an important part of the world's economic analysis. This paper selects the representative stock index returns rate of G20 members; uses the DCC‐MGARCH model to study the stock market volatility co‐movement of China and other G20 members between January 1, 2015, and March 31, 2018; and uses the two‐way fixed effects model to study on the influencing factors of stock market co‐movement mechanism including economic linkages between China and other G20 members, various aspects of China's domestic fundamentals, and stock market development. It shows that the performance and influencing factors of co‐movement between China and other G20 members are time‐varying. Combined with empirical results, this paper also makes recommendations from the perspectives of investors, policy makers, stock market reform, and macroeconomic transformation.

Suggested Citation

  • Sen Wang & Zhixiu Guo, 2020. "A study on the co‐movement and influencing factors of stock markets between China and the other G20 members," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 43-62, January.
    • Handle: RePEc:wly:ijfiec:v:25:y:2020:i:1:p:43-62
    DOI: 10.1002/ijfe.1727
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    Cited by:

    1. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Zhu, You & Uddin, Gazi Salah, 2023. "Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    3. Yensen Ni & Yirung Cheng & Yulu Liao & Paoyu Huang, 2022. "Does board structure affect stock price overshooting informativeness measured by stochastic oscillator indicators?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2290-2302, April.
    4. Yensen Ni & Min-Yuh Day & Yirung Cheng & Paoyu Huang, 2022. "Can investors profit by utilizing technical trading strategies? Evidence from the Korean and Chinese stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    5. Oosterlinck, Kim & Accominotti, Olivier & BRIERE, Marie & Burietz, Aurore & Szafarz, Ariane, 2020. "Did Globalization Kill Contagion?," CEPR Discussion Papers 14395, C.E.P.R. Discussion Papers.
    6. Shi, Yujie, 2022. "What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).

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