A structural VAR analysis on the linkages of China’s stock market with global financial markets
Conference paper
Chen, Y. 2017. A structural VAR analysis on the linkages of China’s stock market with global financial markets.
Authors | Chen, Y. |
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Type | Conference paper |
Contributors | Chen, Y., Santamaria, D. and Liu, Y. |
Description | Economic theories suggest that financial variables are instantaneously affected by each other. To empirically analyse their contemporary relationships, we specify a structural vector autoregressive model that pairs China’s equity market with Asian and European equity markets. The foreign exchange and money markets are also included for analysis since they are risk sources to stock markets. The empirical result indicates an increasing integration of China’s stock market with the Asian stock markets through time, but it is not symmetrical; China’s stock market has become more influenced by the Asian stock markets, while its influence on the Asian stock markets has not equally increased. The result also suggests that the shock of foreign exchange markets is a common risk source to the Asian stock markets. While China’s and the European stock markets have no contemporary relationship once the common factor of US stock market was considered, the result suggests that the exchange rate and interest rate risks are cross-assets to equity and cross-regional between China and Europe in the global financial crisis period. |
Keywords | Impulse response; variance decomposition; return spillover; volatility spillover; within-asset behaviour; cross-assets behaviour; transmission |
Year | 2017 |
Conference | BAFA 2017 Annual Conference with Doctoral Masterclasses |
Publication process dates | |
Deposited | 25 May 2018 |
Accepted | 04 Jan 2017 |
Completed | 10 Apr 2017 |
Output status | Unpublished |
Accepted author manuscript |
https://repository.canterbury.ac.uk/item/88v0w/a-structural-var-analysis-on-the-linkages-of-china-s-stock-market-with-global-financial-markets
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