A structural VAR analysis on the linkages of China’s stock market with global financial markets

Chen, Y. (2017) A structural VAR analysis on the linkages of China’s stock market with global financial markets. In: BAFA 2017 Annual Conference with Doctoral Masterclasses, Monday 10th – Wednesday 12th April 2017, Herriot Watt University, Edinburgh, United Kingdom. (Unpublished)

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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.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Impulse response; variance decomposition; return spillover; volatility spillover; within-asset behaviour; cross-assets behaviour; transmission
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Social and Applied Sciences > The Business School
Depositing User: Yen Chen
Date Deposited: 25 May 2018 12:52
Last Modified: 03 Aug 2018 09:12
URI: https://create.canterbury.ac.uk/id/eprint/17338

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Last edited: 29/06/2016 12:23:00