Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25315
Authors: 
Weber, Enzo
Zhang, Yanqun
Year of Publication: 
2008
Series/Report no.: 
SFB 649 discussion paper 2008,072
Abstract: 
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.
Subjects: 
China
stock market
integration
causality
correlation
JEL: 
C32
G10
Document Type: 
Working Paper

Files in This Item:
File
Size
710.18 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.