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Co-movement of the Chinese and U.S. aggregate stock returns

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  • Qianqian Wang
  • Choi

Abstract

This article studies the co-movement of the levels, as well as of the volatilities, of the Chinese and U.S. aggregate stock returns in 1995-2014, focusing on the impact of the liberalization of Chinese stock market from 2005. The volatilities of the two returns appear to have started to co-move in 2006. To understand the co-movement, we use the GARCH BEKK method. The result suggests that before 2006, the evolution of the U.S. returns had a tendency to affect the Chinese returns in level and volatility. However, after 2006, the two returns affected each other in a more complex way.

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  • Qianqian Wang & Choi, 2015. "Co-movement of the Chinese and U.S. aggregate stock returns," Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5337-5353, October.
    • Handle: RePEc:taf:applec:v:47:y:2015:i:50:p:5337-5353
    DOI: 10.1080/00036846.2015.1047090
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    2. Huang, Junbo & Tian, Huiting & Shen, Weibing, 2023. "Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices," International Review of Financial Analysis, Elsevier, vol. 87(C).
    3. Dutta, Anupam, 2018. "Implied volatility linkages between the U.S. and emerging equity markets: A note," Global Finance Journal, Elsevier, vol. 35(C), pages 138-146.

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