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The interactions between China and US stock markets: New perspectives

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  • Ye, George L.

Abstract

This paper takes a new approach to investigate the interaction between the U.S. and China's stock markets. Since the U.S. and China's stock markets have no overlap in their trading hours, many empirical studies show that the daily returns on these two markets are not correlated. In this paper, we examine the ability of the daily returns on the S&P500 and the DJIA to forecast the direction of the openings of the SSEC and SZCI, two benchmark indexes in the China's stock market, and vice versa. We show that the daily returns on the U.S. stock market have had significant ability to forecast Chinese stock market openings since 2006, while the daily returns on the China's stock market have not shown the similar ability to forecast the U.S. stock market openings.

Suggested Citation

  • Ye, George L., 2014. "The interactions between China and US stock markets: New perspectives," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 331-342.
    • Handle: RePEc:eee:intfin:v:31:y:2014:i:c:p:331-342
    DOI: 10.1016/j.intfin.2014.04.008
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    7. Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2021. "Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations," FFA Working Papers 4.001, Prague University of Economics and Business, revised 17 Jan 2022.
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    More about this item

    Keywords

    Stock markets interaction; Forecasting ability; China; International investment;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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