China's stock market reforms and its international stock market linkages

Li, Hong (2011) China's stock market reforms and its international stock market linkages. In: BMRC-QASS conference on Macro and Financial Economics; 24 May 2011, Uxbridge, U.K.. (Unpublished)

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This paper investigates stock market linkages among China, Korea, Japan and the US with particular attention to the impact of China’s stock market reforms. We use a multivariate GARCH-BEKK model and a series of likelihood ratio tests to uncover China’s regional and global linkages between 1992 and 2010 and during three sub-periods representing stages of the Chinese reforms. The results show that China is linked to the overseas markets through return and volatility spillovers and the reforms permit spillovers from China to the overseas markets. The regression analysis of the derived time-varying conditional correlations during 1992-2010 further indicates that the linkages between China and the regional markets increase due to the implementation of the liberalisation policies. However, the market correlation between China and the US remains weak although it responds positively to the reforms too. The low correlation with the global market suggests a scope for international risk diversification.

Item Type: Conference or Workshop Item (Paper)
Event Title: BMRC-QASS conference on Macro and Financial Economics
Organising Body: The Brunel macroeconomic research centre and the editorial board of Quantitative and Qualitative Analysis of Social Sciences
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences > School of Economics (until November 2012)
Depositing User: Hong Li
Date Deposited: 21 Oct 2011 10:29
Last Modified: 16 Jul 2012 21:54

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