Co-movements of Shanghai and New York Stock prices by time-varying regressions
We estimate a time-varying regression model to study the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of the current stock return for New York on that for Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002, when China entered WTO. The effect of the current return for Shanghai on New York also becomes significantly positive and increasing after 2002. The upward trend has been interrupted during the recent global financial crisis, but reaches the level of about 0.4 to 0.5 in 2010 for both markets. Our results show that China’s stock market has become more and more integrated into the world market in the past twenty years, with interruptions occurring during the recent global economic downturn.
|Date of creation:||22 Aug 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
Web page: http://www.suomenpankki.fi/bofit_en/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
- repec:lan:wpaper:2371 is not listed on IDEAS
- Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992.
"Where does the meteor shower come from? : The role of stochastic policy coordination,"
Journal of International Economics,
Elsevier, vol. 32(3-4), pages 221-240, May.
- Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc.
- Shenqiu Zhang & Ivan Paya & David Peel, 2009.
"Linkages between Shanghai and Hong Kong stock indices,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 19(23), pages 1847-1857.
- S Zhang & I Paya & D Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 599248, Lancaster University Management School, Economics Department.
- Nicolaas Groenewold & Sam Hak Kan Tang & Yanrui Wu, 2002.
"The Dynamic Interrelationships Between the Greater China Share Markets,"
Economics Discussion / Working Papers
02-02, The University of Western Australia, Department of Economics.
- Groenwold, Nicolaas & Tang, Sam Hak Kan & Wu, Yanrui, 2004. "The dynamic interrelationships between the greater China share markets," China Economic Review, Elsevier, vol. 15(1), pages 45-62, January.
- repec:lan:wpaper:2594 is not listed on IDEAS
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,"
NBER Working Papers
2609, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
- Hong Li, 2007. "International linkages of the Chinese stock exchanges: a multivariate GARCH analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(4), pages 285-297.
- Ghosh, Asim & Saidi, Reza & Johnson, Keith H, 1999. "Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration," The Financial Review, Eastern Finance Association, vol. 34(1), pages 159-70, February.
- Gregory C. Chow & Caroline C. Lawler, 2003. "A Time Series Analysis of the Shanghai and New York Stock Price Indices," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 17-35, May.
- repec:lan:wpaper:2452 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:hhs:bofitp:2011_016. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Päivi Määttä)
If references are entirely missing, you can add them using this form.