IDEAS home Printed from https://ideas.repec.org/p/nan/wpaper/1505.html
   My bibliography  Save this paper

On the integration of China's main stock exchange with the international financial market

Author

Listed:
  • Zhenxi Chen

    (Faculty of Economics, Business and Social Sciences, Christian-Albrechts University, Olshausenstrasse 40, 24118 Kiel, Germany)

  • Jan F. Kiviet

    (Amsterdam School of Economics, University of Amsterdam, PO Box 15867, 1001 NJ Amsterdam, The Netherlands)

  • Weihong Huang

    (Division of Economics, Nanyang Technological University, 14 Nanyang Drive, Singapore 637332.)

Abstract

Extending published bivariate analyses on the revenues at the stock markets of New York and Shanghai by a tri-variate analysis, which also includes the Hong Kong stock market, we demonstrate that bivariate inferences on co-movement are highly fragile. In fact, rather common opinions like "China's stock market has become more and more integrated to the world market in the past twenty years" can easily be refuted. We do so also by demonstrating that the statistical findings from various earlier analyses are internally inconsistent. A rather straight-forward analysis based on standard and partial correlations over a running window, which does not pretend to unveil causality, indicates that although the Hong Kong market shows substantial though varying co-movement with both the New York and the Shanghai markets, an apparent systematically intensifying direct link between New York and Shanghai has not emerged yet.

Suggested Citation

  • Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015. "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series 1505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  • Handle: RePEc:nan:wpaper:1505
    as

    Download full text from publisher

    File URL: http://www3.ntu.edu.sg/hss2/egc/wp/2015/2015-05.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. repec:lan:wpaper:2594 is not listed on IDEAS
    2. Kenett, Dror Y. & Raddant, Matthias & Lux, Thomas & Ben-Jacob, Eshel, 2011. "Evolvement of uniformity and volatility in the stressed global financial village," Kiel Working Papers 1739, Kiel Institute for the World Economy (IfW).
    3. Y. Shapira & D. Y. Kenett & E. Ben-Jacob, 2009. "The Index cohesive effect on stock market correlations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 72(4), pages 657-669, December.
    4. Aslanidis, Nektarios & Christiansen, Charlotte, 2014. "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 321-331.
    5. repec:lan:wpaper:2371 is not listed on IDEAS
    6. 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.
    7. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
    8. Huang, Bwo-Nung & Yang, Chin-Wei & Hu, John Wei-Shan, 2000. "Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 281-297.
    9. repec:lan:wpaper:2452 is not listed on IDEAS
    10. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    11. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:cuf:journl:y:2018:v:19:i:1:kiviet:chen is not listed on IDEAS

    More about this item

    Keywords

    China; Co-movement; Globalization; Specification analysis; Stock markets.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:nan:wpaper:1505. 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: (Magdalene Lim). General contact details of provider: http://edirc.repec.org/data/dentusg.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.