Reforms Effects On Chinese Stock Markets World Integration An Empirical Analysis With T Dccgarch PDF Download
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Author | : |
Publisher | : |
Total Pages | : 19 |
Release | : 2019 |
Genre | : Electronic books |
ISBN | : |
Download Reforms' Effects on Chinese Stock Markets World Integration - an Empirical Analysis with T-DCCGARCH Book in PDF, ePub and Kindle
In recent years the Chinese government has instituted a series of reforms to restructure and open the Chinese financial system. This paper studies the dynamic correlations and sensitivities between Chinese mainland stock market and five major stock markets with the multivariate t-DCC-GARCH model. We also consider a Normal-DCC model and results show that t-DCC improves slightly the results. The analysis of reforms' effects on dynamic correlations and sensitivities prove that the Chinese mainland market is more closely tied to Asian stock markets over time, followed by the United States, and with relatively lower correlations with Europe and the United Kingdom. We highlight that the implementation of reforms changes theirs correlations and sensitivities over time. Since the reforms, the correlation between China and international stock markets has been reinforced.
Author | : |
Publisher | : |
Total Pages | : 0 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Reforms' Effects on Chinese Stock Markets World Integration - an Empirical Analysis with T-DCCGARCH. Book in PDF, ePub and Kindle
In recent years the Chinese government has instituted a series of reforms to restructure and open the Chinese financial system. This paper studies the dynamic correlations and sensitivities between Chinese mainland stock market and five major stock markets with the multivariate t-DCC-GARCH model. We also consider a Normal-DCC model and results show that t-DCC improves slightly the results. The analysis of reforms' effects on dynamic correlations and sensitivities prove that the Chinese mainland market is more closely tied to Asian stock markets over time, followed by the United States, and with relatively lower correlations with Europe and the United Kingdom. We highlight that the implementation of reforms changes theirs correlations and sensitivities over time. Since the reforms, the correlation between China and international stock markets has been reinforced.
Author | : Nicolaas Groenewold |
Publisher | : Edward Elgar Publishing |
Total Pages | : 272 |
Release | : 2004 |
Genre | : Business & Economics |
ISBN | : |
Download The Chinese Stock Market Book in PDF, ePub and Kindle
The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s. The authors address a variety of critical topics to assess the efficiency, predictability and profitability of the Chinese stock-market. They carefully examine the evolution and performance of the market over the past ten years and measure its level of efficiency using an array of empirical studies. The results reveal that not only is the stock market far from efficient but that it has also failed to properly integrate with other regional markets. Thus, the authors propose further reforms which they argue are necessary for the stock market to realize its full potential contribution to the operation of China's financial markets and to its continuing economic development. The stock market in China will undoubtedly grow in importance and international influence during the next ten years. As such, this valuable new book will be required reading for economic researchers, business economists and market analysts, as well as academics with an interest in Chinese business and Asian finance.
Author | : Jiadi Cheng |
Publisher | : |
Total Pages | : 39 |
Release | : 2020 |
Genre | : China |
ISBN | : |
Download The Stock Connect Programs Book in PDF, ePub and Kindle
The Stock Connect programs are important steps for China to liberate its relatively restricted financial market. The Shanghai - Hong Kong Stock Connect program launched in 2014, and the Shenzhen - Hong Kong program launched in 2016 allowed both institutional and individual international investors access to the Chinese stock market for the first time. This paper studies the impact of the Stock Connect programs on Chinese stock returns and Chinese stock market's integration with international stock markets using 2SLS regression analysis. Regression results show that the launch of the SH - HK Stock Connect program increased daily returns of all four eligible indexes under Stock Connect programs but did not increase correlation between daily performances of Chinese stock market and global stock markets with statistical significance.
Author | : Lubos Komarek |
Publisher | : |
Total Pages | : 41 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Integration of Chinese and Russian Stock Markets with World Markets Book in PDF, ePub and Kindle
Interest in examining the financial linkages of economies has increased in the wake of the 2008/2009 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration between Russia and China as well as between them and the United States, the euro area and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing stock market integration after the 1997 Asian financial crisis and the 1998 Russian financial crisis. Following a major disruption caused by the 2008/2009 global financial crisis, the process of stock market integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the recent crisis have not been uniform at the sectoral level, suggesting potential for diversification of risk across sectors.
Author | : Decai Zhou |
Publisher | : |
Total Pages | : 13 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download The Study of Nonlinear Correlation Between Shanghai, Hongkong and American Stock Returns -- An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model Book in PDF, ePub and Kindle
Considering the mean and the volatility correlation of Chinese and foreign stock market may undergo structural changes because of the reform and opening-up, the paper attempts to incorporate Markov state transition mechanism(MS) into both the VAR model and DCC-MVGARCH model at the same time. Based on that, it constructs the MS-VAR model and MS-DCC-MVGARCH model to empirically verify the nonlinear mean spillover effect and the volatility correlation among the Shanghai, Hong Kong and American stock markets. Empirical research shows that: firstly, there exists differentiating character among the correlation of these stock markets. USA stock market has positive spillover effect on Shanghai and Hong Kong stock markets, but it is not obvious conversely; at the same time; the volatility correlation between Shanghai and Hong Kong stock market is the highest, and it presents periodic volatility, while the volatility correlation between HK and US is the lowest, and it presents a stable fluctuant feature. Secondly, the interaction among the effects of Shanghai, Hong Kong and American Stock Market presents the obvious non-linear feature. The mean spillover effect among these stock markets in state 2 is significantly greater than in state 1; at the same time, the effects of volatility among these stock markets in state 1 is significantly higher than that of in state 2.
Author | : You Wu |
Publisher | : |
Total Pages | : 170 |
Release | : 2010 |
Genre | : Economic development |
ISBN | : |
Download A Retrospect and Prospect on the Development of China's Stock Market Book in PDF, ePub and Kindle
"The purpose of this research is to investigate the development and performances of the Chinese stock markets and the relationship between China's stock market development and economic growth. In theoretical discussions, we review some previous studies about the relationship between financial development and economic growth, then highlight the role of stock markets in economic activity, illustrate channels that have been identified by the theoretical research through which stock markets can influence economic growth, and finally summarize the previous empirical evidence. Following this, we focus on the development course of China's stock market, analyze its characteristics, and discuss the problems caused by the market’s system flaws. In empirical analysis, we investigate actual performance of the Chinese stock markets, using the time series analysis techniques, and discuss particularly the relationship between stock market development and economic growth. The empirical results are consistent with our theoretical discussions that a policy-oriented stock market is less efficient and is, to a certain extent, unlikely to produce a significant and positive effect on economic growth. Given that one of the most important barriers to the development of China’s stock market might be administrative interference of the government, this study finally addresses some corrective policy changes which may exert positive influence on the future development of China’s stock market."--P. ii.
Author | : Greg N. Gregoriou |
Publisher | : CRC Press |
Total Pages | : 654 |
Release | : 2009-04-08 |
Genre | : Business & Economics |
ISBN | : 1420099558 |
Download Stock Market Volatility Book in PDF, ePub and Kindle
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author | : Edgar E. Peters |
Publisher | : John Wiley & Sons |
Total Pages | : 352 |
Release | : 1994-02-08 |
Genre | : Business & Economics |
ISBN | : 9780471585244 |
Download Fractal Market Analysis Book in PDF, ePub and Kindle
A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.
Author | : Xunpeng (Roc) Shi |
Publisher | : Frontiers Media SA |
Total Pages | : 279 |
Release | : 2021-06-04 |
Genre | : Technology & Engineering |
ISBN | : 2889662454 |
Download Energy Market and Energy Transition: Dynamics and Prospects Book in PDF, ePub and Kindle