What drives the dependence between the Chinese and global stock markets?
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 mar...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Modern Finance Institute
2023-08-01
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| Series: | Modern Finance |
| Subjects: | |
| Online Access: | https://mf-journal.com/article/view/5 |
| _version_ | 1797294380323700736 |
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| author | Lingling Qian Yuexiang Jiang Huaigang Long |
| author_facet | Lingling Qian Yuexiang Jiang Huaigang Long |
| author_sort | Lingling Qian |
| collection | DOAJ |
| description | 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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| first_indexed | 2024-03-07T21:30:26Z |
| format | Article |
| id | doaj.art-171f45bc252f469aac50366fe57c788d |
| institution | Directory Open Access Journal |
| issn | 2956-7742 |
| language | English |
| last_indexed | 2024-03-07T21:30:26Z |
| publishDate | 2023-08-01 |
| publisher | Modern Finance Institute |
| record_format | Article |
| series | Modern Finance |
| spelling | doaj.art-171f45bc252f469aac50366fe57c788d2024-02-26T16:19:33ZengModern Finance InstituteModern Finance2956-77422023-08-011110.61351/mf.v1i1.5What drives the dependence between the Chinese and global stock markets?Lingling Qian0Yuexiang Jiang1Huaigang Long2Hanhai Information TechnologyZhejiang UniversityZhejiang University of Finance and EconomicsBy 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. https://mf-journal.com/article/view/5dependencedeterminantstime-varying copulaspanel regression analysiseconomic policy uncertaintyglobal financial crisis |
| spellingShingle | Lingling Qian Yuexiang Jiang Huaigang Long What drives the dependence between the Chinese and global stock markets? Modern Finance dependence determinants time-varying copulas panel regression analysis economic policy uncertainty global financial crisis |
| title | What drives the dependence between the Chinese and global stock markets? |
| title_full | What drives the dependence between the Chinese and global stock markets? |
| title_fullStr | What drives the dependence between the Chinese and global stock markets? |
| title_full_unstemmed | What drives the dependence between the Chinese and global stock markets? |
| title_short | What drives the dependence between the Chinese and global stock markets? |
| title_sort | what drives the dependence between the chinese and global stock markets |
| topic | dependence determinants time-varying copulas panel regression analysis economic policy uncertainty global financial crisis |
| url | https://mf-journal.com/article/view/5 |
| work_keys_str_mv | AT linglingqian whatdrivesthedependencebetweenthechineseandglobalstockmarkets AT yuexiangjiang whatdrivesthedependencebetweenthechineseandglobalstockmarkets AT huaiganglong whatdrivesthedependencebetweenthechineseandglobalstockmarkets |