What drives the dependence between the Chinese and global stock markets?
Abstract
By applying time-varying copulas and panel regression analysis, this study investigates the dependence between the Chinese and eleven international stock markets, as well as its determinants during the period 2002-2018. Our results indicate that the dependence magnitude between the Chinese stock market and major international markets varies with region. Furthermore, the dependence is negatively driven by both economic policy uncertainty differentials and interest rate differentials while positively affected by the global financial crisis and trade interdependence. Our findings are of great importance to international investors and policymakers.
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Authors
Copyright (c) 2023 Lingling Qian, Yuexiang Jiang, Huaigang Long
This work is licensed under a Creative Commons Attribution 4.0 International License.
Article Details
Funding data
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National Natural Science Foundation of China
Grant numbers 72003172 -
Natural Science Foundation of Zhejiang Province
Grant numbers LY21G030014