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Cross-regional connectedness of financial market: Measurement and determinants

Author

Listed:
  • Yang, Xin
  • Wang, Xuya
  • Cao, Jie
  • Zhao, Lili
  • Huang, Chuangxia

Abstract

This paper investigates to what extent the cross-regional connectedness of the financial market occurs and how it is determined. We adopt Diebold and Yilmaz’s (2014) method to quantify the magnitude and time-varying nature of the connectedness of China’s regional stock price indexes, and the results show a strong and significantly different dynamic connectedness across the regions. Moreover, total connectedness exhibits a dynamic rise in trend in periods of Chinese stock market crashes, trade disputes between China and the United States, and the COVID-19 pandemic. Finally, financial marketization, industrial structure, and government intervention have a significant effect on cross-regional connectedness.

Suggested Citation

  • Yang, Xin & Wang, Xuya & Cao, Jie & Zhao, Lili & Huang, Chuangxia, 2024. "Cross-regional connectedness of financial market: Measurement and determinants," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000822
    DOI: 10.1016/j.najef.2024.102157
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    More about this item

    Keywords

    Connectedness; Finance marketization; Industrial structure; Government intervention;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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