Resource title

Common influences, spillover and integration in Chinese stock markets

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image for OpenScout resource :: Common influences, spillover and integration in Chinese stock markets

Resource description

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an econometric technique capable of identifying common factor in uences from (bi-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have largely replaced direct spillovers.

Resource author

Enzo Weber, Yanqun Zhang

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25315

Resource license

Adapt according to the presented license agreement and reference the original author.