China and the World Equity Markets: A Review of the First Decade
With more than a decade of Chinese equity markets, we study how variance, covariance, and correlations have developed for these markets and relative to world markets based on the Dynamic Conditional Correlation (DCC) model of Engle (2002). Chinese markets trade A-shares for domestic investors and otherwise identical B-shares for foreign investors. For A-shares, we .nd that volatility declined over the decade. Relative to world markets, we .nd no asymmetric volatility in China and less volatility persistence for B-shares. And, contrary to the global trend of increasing cross-country correlations, we .nd stationary correlations for China. A-share indices never correlated with world markets and B-share indices exhibit low correlation with Western markets and Japan (0-5％) and slightly higher correlation with the other Australasian markets (10-20％). We interpret these .ndings using Gordon’s growth model.
Kuan-Pin Lin Albert J. Menkveld Zhishu Yang
Portland State University Vrije Universiteit Amsterdam Tsinghua University Beijing
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）