What drives the dependence between the Chinese and global stock markets?

Lingling Qian (1) Yuexiang Jiang (2) Huaigang Long (3)
(1) Hanhai Information Technology, China
(2) Zhejiang University, China
(3) Zhejiang University of Finance and Economics, China


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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Lingling Qian
Yuexiang Jiang
Huaigang Long
longhuaigang@zufe.edu.cn (Primary Contact)
Author Biography

Huaigang Long, Zhejiang University of Finance and Economics

Correspondence: longhuaigang@zufe.edu.cn; School of Finance, Zhejiang University of Finance and Economics, 18 Xueyuan Street, Hangzhou City, Zhejiang Prov, China 310018.

Qian, L., Jiang, Y., & Long, H. (2023). What drives the dependence between the Chinese and global stock markets?. Modern Finance, 1(1), 12–16. https://doi.org/10.61351/mf.v1i1.5

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