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Does Subprime Crisis Affect Chinese Stock Market Returns?

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  • Kai Shi
  • Li Nie

Abstract

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index between before and after the crisis. Little spatial dominance could be found, even considering the appreciation of the RMB, no matter in short-term or long run investment. For rationale investors, there are no significant risk and preference changes about domestic stock market in the post Subprime Crisis era.

Suggested Citation

  • Kai Shi & Li Nie, 2012. "Does Subprime Crisis Affect Chinese Stock Market Returns?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(6), pages 1-12.
    • Handle: RePEc:spt:apfiba:v:2:y:2012:i:6:f:2_6_12
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    Cited by:

    1. Xu Jiahua, 2019. "Equity Incentives and Crash Risk in China’s A-Share Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 13(1), pages 1-18, January.

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