China and the World Equity Markets: A Review of the First Decade

摘要：

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 find that volatility declined over the decade. Relative to world markets, we find no asymmetric volatility in China and less volatility persistence for B-shares. And, contrary to the global trend of increasing cross-country correlations, we find 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 findings using Gordon’s growth model.

作者: Kuan-Pin Lin Albert J. Menkveld Zhishu Yang

作者单位: Department of Economics, Portland State University, 241 Cramer Hall, 1721 SW Broadway, P. O. Box 751 Vrije Universiteit Amsterdam, FEWEB, De Boelelaan 1105, 1081 HV Amsterdam, Netherlands School of Economics and Management, Tsinghua University, Beijing, 100084, P.R. China

会议类型: 国际会议

会议名称: 2006年中国金融国际年会

会议地点: 西安

会议语种:英文

页码: 1-34

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）