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Does the Chinese stock market react to global news?

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  • Hans Byström

Abstract

In this paper, the news aggregator Google News is used to assess the impact of worldwide news on the volatility of the Chinese stock market. Although we find a strong link between the global stock market volatility and the amount of stock market-related news available worldwide, the link between the Chinese stock market and the same set of worldwide news is found to be much weaker. Diverging patterns for (domestic) A shares and (international) B shares lead us to conclude that the direction of causality most likely is from news volumes to volatility and not vice versa.

Suggested Citation

  • Hans Byström, 2011. "Does the Chinese stock market react to global news?," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(3), pages 448-455.
    • Handle: RePEc:taf:rjapxx:v:16:y:2011:i:3:p:448-455
    DOI: 10.1080/13547860.2011.589631
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    Cited by:

    1. Shailesh Rastogi, 2013. "Long-term Association of Stock Markets of Different Nations: An Empirical Study," Vision, , vol. 17(4), pages 303-313, December.
    2. Imlak Shaikh & Puja Padhi, 2013. "RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(4), pages 445-460, March.
    3. Byström, Hans, 2016. "Language, news and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 139-154.

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